The purpose of this paper is to evaluate the effect of dimensionality and probability of exercise of a European call option on the precision improvements obtained by the usage of Descriptive Sampling on a Monte Carlo Simulation to price such derivative as opposed to the use of traditional Simple...

This article aims at providing a new alternative for the collection of information on risks taken by financial institutions, which enables the calculation of risk tools usually used in risk management, such as VaR and stress tests. This approach should help risk managers, off-site supervision...

The Duan Options Pricing Model is an alternative to the Black & Scholes Model (B&S), but considers the heteroskedasticity and the non-normality of the asset-returns. This study analyzes the performance and the characteristics of this model when applied to the Brazilian market, specifically on...

This paper analyzes how including options in the estimation of a dynamic term structure model impacts the way it captures term structure movements. Two versions of a multi-factor Gaussian model are compared: One adopting only bonds data, and the other adopting a joint dataset of bonds and...

This paper aims at verifying the nature of the relationship between financial development and economic growth in Brazil. From the theoretical point-of-view, although the prevailing view through which financial development generate direct impacts on economic growth, there are distinct positions....

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We use bank-level data to model the demand for bank services in Brazil following the discrete choice literature. A multinomial logit specification is used to study the demand for time deposits, for an aggregate of demand and passbook savings deposits, and for loans. Market for each of these...

This paper examines models of capital requirement determination for financial institutions in order to cover market risk stemming from exposure to foreign currencies and gold. The models examined belong to two groups according to the approach involved: standardized and internal models. In the...

An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model depends on the correct model specification. Literature has shown important studies of how to select the lag order of a nonstationary VAR...

This paper presents the derivation of risk neutral probability distributions implied in the prices of call options on the "commercial dollar" (in Reals, the Brazilian currency), negotiated in the Mercantile and Futures Exchange of São Paulo, Brazil. These distributions were used to analyze the...