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Quality option profits, switching option profits, and variation margin costs : an evaluation of their size and impact on treasury bond futures prices

Barnhill, Theodore M. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 1, pp. 65-86

Persistent link: https://www.econbiz.de/10001082513

Systemic bank risk in Brazil : a comprehensive simulation of correlated market, credit, sovereign and inter-bank risks

Barnhill, Theodore M.; Souto, Marcos Rietti - In: Financial markets, institutions & instruments 18 (2009) 4, pp. 243-283

Persistent link: https://www.econbiz.de/10003913217

An analysis of off-site supervision of banks' profitability, risk and capital adequacy : a portfolio simulation approach applied to brazilian banks

Barnhill, Theodore M. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003382098

Systemic bank risk in Brazil : an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations

Barnhill, Theodore M. (contributor); … - 2008

In this study we develop and demonstrate a powerful and flexible forward-looking portfolio simulation methodology for assessing the correlated impacts of market risk, and private sector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largest Brazilian banks) and...