In this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse...

Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a...

Forecasting financial crises has enormous practical importance. In this paper we propose a new measure of risk of extreme loss using data of a cross-section of asset prices. This measure presents as practical advantage the fact that it does not depend on the existence of a liquid market of...

The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard...

The aim of this work is to study the relationship between implied and realized volatilities. For this purpose, we analyze the markets of Petrobras stocks and calls between January 2006 and December 2008. Regression analysis with no overlapping monthly data of in-the-money, at-the-money and...

We use a dynamic term structure model with default and observable factors to study the interaction between macro variables and the Brazilian sovereign yield curve. We also calculate the default probabilities implied from the estimated model and the impact of macro shocks on those probabilities....

The break-even inflation rate (the difference between nominal and real rates) is the main indicator of future price level. However, inflation expectation is only one of its components. In this article we present a simple economic model in order to split the break-even inflation rate in the...