Browsing FGV EPGE - Ensaios Econômicos by Author "Vicente, José"

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The role of no-arbitrage on forecasting: lessons from a parametric term structure model

Almeida, Caio Ibsen Rodrigues de; Vicente, José
2007-10-01

Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...
Social welfare analysis in a simple financial economy with risk regulation

Araújo, Aloísio Pessoa de; Vicente, José
2007-09-01

In the last years, regulating agencies of rnany countries in the world, following recommendations of the Basel Committee, have compelled financiaI institutions to maintain minimum capital requirements to cover market risk. ...