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Regulating, supervising, and handling distress in public banks

Adams, Mark; Aydin, Hanife Yesim; Chon, Hee Kyong; … - 2022

Persistent link: https://www.econbiz.de/10013335925

Derivative pricing using multivariate affine generalized hyperbolic distributions

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Journal of banking & finance 34 (2010) 7, pp. 1607-1617

Persistent link: https://www.econbiz.de/10008649442

Goodness-of-fit tests focus on value-at-risk estimation

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Brazilian review of econometrics : the review of the … 26 (2006) 2, pp. 309-326

Persistent link: https://www.econbiz.de/10003590640

Multivariate affine generalized hyperbolic distributions: an empirical investigation

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: International review of financial analysis 18 (2009) 4, pp. 174-184

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their...

Persistent link: https://www.econbiz.de/10003921092

Estimating relative risk aversion, risk-neutral and Real-world densities using Brazilian Real currency options

Ornelas, José Renato Haas; Barbachan, José Santiago … - 2012

Persistent link: https://www.econbiz.de/10009532137

Accounting for skewness in performance evaluation of Brazilian mutual funds

Ornelas, José Renato Haas; Farias, Aquiles Rocha de; … - In: Banking and finance review 1 (2009) 1, pp. 119-131

Persistent link: https://www.econbiz.de/10008936744

Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 16 (2012) 4, pp. 567-577

Persistent link: https://www.econbiz.de/10011447980

Generalized hyperbolic distributions and Brazilian data

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Brazilian review of econometrics : the review of the … 24 (2004) 2, pp. 249-271

Persistent link: https://www.econbiz.de/10003119676

Analyzing the use of generalized hyperbolic distributions to value at risk calculations

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Economia aplicada : EA 9 (2005) 1, pp. 25-38

Persistent link: https://www.econbiz.de/10002889308

A survey of research on retail central bank digital currency

Kiff, John; Alwazir, Jihad; Davidovic, Sonja; Farias, … - 2020

This paper examines key considerations around central bank digital currency (CBDC) for use by the general public, based on a comprehensive review of recent research, central bank experiments, and ongoing discussions among stakeholders. It looks at the reasons why central banks are exploring...

Persistent link: https://www.econbiz.de/10012252038