Showing 31 - 40 of 53
Persistent link: https://www.econbiz.de/10011129110
Short-term return bear influence on common investors and fund managers. However, the correct forecast of short-term market movements is not a trivial task. The purpose of this essay is to verify, according to Herold et al. (2007), if the dynamic allocation amongst main Brazilian asset classes...
Persistent link: https://www.econbiz.de/10010895859
This article investigates whether the information asymmetry component imbedded in the bid-ask spread helps explain the difference in returns between portfolios composed of value versus growth stocks in the Brazilian market. Additionally, we test whether the portfolios’ volatility has any...
Persistent link: https://www.econbiz.de/10010779300
Persistent link: https://www.econbiz.de/10004963352
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
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...
Persistent link: https://www.econbiz.de/10005068275
Historical models are being quite used in the value at risk (VaR) estimation due to the fact that many returns of financial assets cannot be described by a theoretical distribution. In these models, each observation of the past can be a possible scenery and for each scenery there is a price for...
Persistent link: https://www.econbiz.de/10005770986
Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital...
Persistent link: https://www.econbiz.de/10005770988
The Value at Risk calculation for options has a lot of difficulties. The non-normality and the non-linearity of these assets cause sufficient unaccuracy in this measurement, mainly for the parametric models. The purpose of this article is to analyze the results of the VaR estimate for a...
Persistent link: https://www.econbiz.de/10005771001
Although not explicitly reported, option traders on the Bovespa exchange pay an implicit bid-ask spread on each trade. Reported transaction prices that comprise the databases previously used to study the Brazilian options markets do not reflect actual option values at the time of the trades, but...
Persistent link: https://www.econbiz.de/10005272125