Browsing Produção Intelectual em Bases Externas by Subject "Risco (Economia)"
Now showing items 21-26 of 26
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An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
2017-05-25The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ... -
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
2014We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ... -
Teoria do portfólio: um estudo sobre os fatores que influenciam a escolha do perfil de investimento da FASERN
2015Este trabalho tem como objetivo principal avaliar os fatores que influenciam a escolha do perfil de investimento dos participantes ativos da FASERN. Este estudo apresenta os fundamentos de risco e retorno, as preferências ... -
The trade-off between incentives and endogenous risk
2007-11-01Negative relationship between risk and incentives, predicted by standard moral hazard models, has not been confirmed by empirical work. We propose a moral hazard model in which heterogeneous risk-averse agents can control ... -
Uncertainty and trade agreements
2015-11We explore conditions under which trade agreements can provide gains by reducing trade policy uncertainty. Given the degree of income risk aversion, this is more likely when economies are more open, export supply elasticities ... -
Volatility and correlation-based systemic risk measures in the US market
2016-10-01This paper deals with the problem of how to use simple systemic risk measures to assess portfolio risk characteristics. Using three simple examples taken from previous literature, one based on raw and partial correlations, ...
