Browsing FGV EESP - Textos para Discussão / Working Paper Series by Subject "Risco (Economia)"
Now showing items 1-6 of 6
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The capital asset pricing theory and its misconceptions
2016The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ... -
Cost of equity estimation for the Brazilian market: a test of the Goldman Sachs model
2017As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian ... -
Cópulas: uma alternativa para a estimação de modelos de risco multivariados
2009-01-26The biggest challenge in portfolio’s risk measures is to find the best way to aggregate risks. This aggregation should be done in the way where we can identify the diversification effect recognized in either asset position ... -
Demand aggregation and credit risk effects in pooled procurement: evidence from the Brazilian public purchases of pharmaceuticals and medical supplies
2012-09-12Pooled procurement has an important role in reducing acquisition prices of goods. A pool of buyers, which aggregates demand for its members, increases bargaining power and allows suppliers to achieve economies of scale and ... -
Deviations from covered interest parity: the role played by fundamentals, financial and political turmoils and market frictions
2019-05Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis (Du et al., 2018). Our study aims to contribute to the literature by ... -
Estimando os fatores da ETTJ implícitos nos derivativos de juros: uma abordagem forward-looking
2019-09Usando uma parametrização simples do modelo HJM, é desenvolvido um arcabouço teórico que além de entregar soluções analíticas fechadas para as opções de DI e FRA-DI, permite-nos enxergar através de uma geometria tridimensional ...
