Listagem FGV EPGE - Ensaios Econômicos por Assunto "Risco (Economia)"

Itens para a visualização no momento 1-8 of 8

    • Evaluating Value-at-Risk models via Quantile regressions 

      Gaglianone, Wagner Piazza; Linton, Oliver; Lima, Luiz Renato Regis de Oliveira
      2008-09-04
      This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) ...

    • Non-monotone insurance contracts and their empirical consequences 

      Araújo, Aloísio Pessoa de; Moreira, Humberto Ataíde
      2003-11
      The goal of this paper is to show the possibility of a non-monotone relation between coverage ans risk which has been considered in the literature of insurance models since the work of Rothschild and Stiglitz (1976). We ...

    • Normality under uncertainty 

      Costa, Carlos Eugênio da
      2003-09-30
      Consider the demand for a good whose consumption be chosen prior to the resolution of uncertainty regarding income. How do changes in the distribution of income affect the demand for this good? In this paper we show that ...

    • The risk premium on brazilian government debt, 1996-2002 

      Loureiro, André Soares; Barbosa, Fernando de Holanda
      2003-06-28
      The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt. As the risk premium is a component of the interest rate set by the Brazilian central bank, its reduction would make ...

    • Risk sharing and the household collective model 

      Costa, Carlos Eugênio da
      2003-10-01
      When the joint assumption of optimal risk sharing and coincidence of beliefs is added to the collective model of Browning and Chiappori (1998) income pooling and symmetry of the pseudo-Hicksian matrix are shown to be ...

    • The trade-off between incentives and endogenous risk 

      Tsuchida, Marcos H.; Araújo, Aloísio Pessoa de; Moreira, Humberto Ataíde
      2004-02-01
      Standard models of moral hazard predict a negative relationship between risk and incentives, but the empirical work has not confirmed this prediction. In this paper, we propose a model with adverse selection followed by ...

    • Uncertainty aversion and the optmal choice of portfolio 

      Dow, James; Werlang, Sérgio Ribeiro da Costa
      1988
      In this paper we apply the theory of declsion making with expected utility and non-additive priors to the choice of optimal portfolio. This theory describes the behavior of a rational agent who i5 averse to pure 'uncertainty' ...

    • Volatility modelling in the forex market: an empirical evaluation 

      Roche, Bruno B.; Flôres Junior, Renato Galvão
      1999-10
      We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative ...