Browsing Documentos indexados pela Scopus by Subject "Risco (Economia)"
Now showing items 1-6 of 6
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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 ... -
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 ... -
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. ... -
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 ... -
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 ...
