Listagem Produção Intelectual em Bases Externas por Assunto "Risco (Economia)"
Itens para a visualização no momento 1-20 of 26
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Approximating risk premium on a parametric arbitrage-free term structure model
2014-11-14In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ... -
Are country and size risks priced in the Brazilian stock market?
2017When estimating a firm's cost of equity for valuation and other purposes in emerging markets without (or with only partial) capital market integration, many practitioners include a premium for country risk. In principle, ... -
Are interest rate options important for the assessment of interest rate risk?
2009-08Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution ... -
Aversão ao risco e outras milongas
2003-10-03 -
Can jurisdictional uncertainty and capital controls explain the high level of real interest rates in Brazil? Evidence from panel data
2007This paper tests the assertion, popularized by Arida et al. (2005), that risks associated with the jurisdiction and currency inconvertibility are relevant determinants of the high level of short-term real interest rates ... -
Chance and fortune
2005-07 -
Composição de carteiras por mínima variância: comparação com benchmarks de mercado
2016-08Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on ... -
A credit risk model for consumer loan portfolios
2007We propose a credit risk model for consumer loan portfolios in Brazil. Consumer profiles and the risk classification of credit operations are used to segment the portfolios. Credit loss distributions for each segment are ... -
Crise cambial: riscos e oportunidades
2003-10-03A análise das semelhanças e diferenças entre a crise cambial de 1999 e a iniciada no segundo semestre de 2002 pode resultarem uma ferramenta preciosa para a identificação dos riscos e das oportunidades que se seguirão a ... -
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
2016-03-10This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ... -
Estimating relative risk aversion, the discount rate, and the intertemporal elasticity of substitution in consumption for Brazil using three types of utility function
2000-11-02Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the ... -
Estimating risk aversion, risk-neutral and real-world densities using brazilian real currency options
2012This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. ... -
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
2012-11We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulae linking future values of the process with ... -
Idiosyncratic moments and the cross-section of stock returns in Brazil
2016-11-01This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ... -
The impact of market power at bank level in risk-taking: The Brazilian case
2014This paper seeks to examine the competitive behavior of the Brazilian banking industry by conducting an analysis at the level of individual banks to gain an understanding of how the risk-taking behaviors of banks are ... -
Lost in participation: how local knowledge was overlooked in land use planning and risk governance in Tōhoku, Japan
2016This article aims to identify gaps in public participation in land use planning to improve risk governance, using the case of the Great East Japan Earthquake (GEJE) in 2011. Overreliance on technical information and on the ... -
Misestimating betting behavior: the role of negative asymmetries in emotional self prediction
2014-12This paper addresses the role of negative asymmetries in emotional self-prediction by looking at the extent to which individuals misestimate their own betting behavior in sequential gambles. In a series of three experimental ... -
Nonparametric tail risk, stock returns, and the macroeconomy
2016This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ... -
Options can induce risk taking for arbitrary preferences
2006-04It is widely believed that call options induce risk-taking behavior. However, Ross (2004) challenges this intuition by demonstrating the impossibility of inducing managers with arbitrary preferences to always act as if ... -
O que determina a tomada de decisão financeira: razão ou emoção?
2011It is important to detach that nor all the investors interpret in the same way the relevant information divulged in the market, what can be explained by the following divergent or different conditions: beliefs, values, ...
