In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank...

This paper presents the quarterly survey on Financial Stability conducted by the Central Bank of Brazil since September 2011. It presents aggregate results, which were obtained with the answers of participant financial institutions. The objective of the survey is to consolidate market...

This paper presents measures for the mitigation of systemic risk adopted in the Brazilian Payment System, and payments processed by this system are analyzed in order to identify potential sources of systemic risk. Measures for the mitigation of systemic risk within the Brazilian Payment System...

This paper proposes a novel way to model a network of firm-bank and bank-bank interrelationships using a unique dataset for the Brazilian economy. We show that distress originating from firms can be propagated through the interbank network. Furthermore, we present evidence that the distribution...

In this paper, we examine optimal portfolio decisions within a decentralized framework. There are many portfolio managers choosing optimal portfolio weights in a mean-variance framework and taking decisions in a decentralized way. However, the overall portfolio may not be efficient, as the...

This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the...

In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the São Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the...

This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used, by applying the methods...

We study what is the systemic impact of banks' foreign funding and what are the determinants of this flow of international money. With that, we intend to establish a relation between banks' foreign funding, carry trade, exchange rate exposure and banking system risk which is novel in the...

This paper addresses the issue of how individual bank interconnectivity and the interbank network topology impact on Brazilian banking efficiency between 2007 and 2013. We use several network measures to analyze the effects of bank interconnections on cost, profit and risk-taking efficiency. The...