Using data drawn from the Brazilian Central Bank Credit Information System, this paper evaluates the impact of the use of collateral on the probability of default and, consequently, on capital requirement levels in the Brazilian financial system. Literature suggests that the existence of...

This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on the banks’ total assets and liabilities. Despite the simplifying assumptions, the methodology captures well several stylized facts in the recent history of...

This paper assesses a wide set of aspects of market forecasts in Brazil: rationality, predictive power, joint performance, epidemiology and determinants. Using the survey conducted by the Central Bank of Brazil (CBB) among professional forecasters during the inflation targeting period, the main...

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...

The objective of this paper is twofold. The first is to incorporate mental accounting, loss-aversion, asymmetric risk-taking behavior, and probability weighting in a multi-period portfolio optimization for individual investors. While these behavioral biases have previously been identified in the...

This paper investigates the presence of contagion due to the subprime crisis through the analysis of increases in correlation and changes in the co-skewness degree in banking systems. We elaborate a ranking containing the countries which suffered more contagion. Empirical results reveal that...

Using data drawn from the Brazilian Central Bank Credit Information System (SCR), this paper investigates the loss incurred by financial institutions given clients defaults - Loss Given Default (LGD) - in Brazilian credit market from January 2003 to September 2007. According to Basel II, it is...

This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results...

A short review of the literature discusses different approaches on strategy, their agreeded and disagreeded points, and also discusses the foundations that are used to separate multiple perspectives on the subject according to several scholars. The paradigm distinction proposed by Burrell &...

This paper presents a small-scale structural model to the Brazilian economy with an external block. The nominal exchange rate forecast is based on an uncovered interest rate, which is estimated in monthly terms since the switching of the exchange regime in 1999. As a risk premium measurement,...