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O Uso de Dados de Alta Freqüência na Estimação da Volatilidade e do Valor em Risco para o IBOVESPA

Moreira, João Maurício de Souza; Lemgruber, Eduardo Facó - In: Revista Brasileira de Economia 58 (2004) 1

Persistent link: https://www.econbiz.de/10011158715

O Uso de Dados de Alta Freqüência na Estimação da Volatilidade e do Valor em Risco para o IBOVESPA

Moreira, João Maurício de Souza; Lemgruber, Eduardo Facó - In: Revista Brasileira de Economia 58 (2004) 1, pp. 99-120

Persistent link: https://www.econbiz.de/10008477549

La politica de informática del Banco Central de Brasil

In: Monetaria 2 (1979) 4, pp. 551-598

Persistent link: https://www.econbiz.de/10003282647

Estimação do beta de ações através do método dos coeficientes agregados

Jr., Newton C.A. da Costa; Menezes, Emilio A.; … - In: Revista Brasileira de Economia 47 (1993) 4

Persistent link: https://www.econbiz.de/10011158896

Seguro Dinâmico de Portfólio

Becker, João Luiz; Felício, Rousely Freire; … - In: Revista Brasileira de Economia 45 (1991) 4

Persistent link: https://www.econbiz.de/10011129499

A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil

Barbedo, Claudio Henrique da Silveira; Lemgruber, … - In: Emerging Markets Review 10 (2009) 3, pp. 179-190

We develop a tractable structural model to estimate a firm's default probability by modeling its asset and debt behavior. The model incorporates jump factors. For a set of Brazilian large corporations, we compare the structural model results to the default probabilities predicted by a survival...

Persistent link: https://www.econbiz.de/10005006116

Estimação do beta de ações através do método dos coeficientes agregados

Newton C.A. da Costa Jr.; Menezes, Emilio A.; … - In: Revista Brasileira de Economia 47 (1993) 4, pp. 605-622

Persistent link: https://www.econbiz.de/10008477353

Seguro Dinâmico de Portfólio

Becker, João Luiz; Felício, Rousely Freire; … - In: Revista Brasileira de Economia 45 (1991) 4, pp. 629-649

Persistent link: https://www.econbiz.de/10008477371

Análise da Coerência de Medidas de Risco no Mercado Brasileiro de Ações e Desenvolvimento de uma Metodologia Híbrida para o Expected Shortfall

Silva, Alan Cosme Rodrigues da; Lemgruber, Eduardo Facó; … - Central Bank of Brazil, Research Department - 2007

This work seeks to analyze empirically the coherence of the VaR and the Expected Shortfall by the definition of Artzner et al. (1997) at the Brazilian Stock Market (Bovespa), calculated with three methodologies: the historical simulation, the analytical approach with EWMA volatility from...

Persistent link: https://www.econbiz.de/10005467384

A Down-and-Out Exchange Option Model with Jumps to Evaluate Firms' Default Probabilities in Brazil

Barbedo, Claudio Henrique - 2016

We develop a tractable structural model to estimate firm's default probability by modeling its asset and debt behavior. The model is a down-and-out exchange option in a jump diffusion model. For a set of Brazilian large corporations, we compare the structural model results to the default...

Persistent link: https://www.econbiz.de/10012747153