This paper examines the forecast power of subsets of the option-implied interest rate derivatives’ expectations. We use a string market model with three factors to extract the implied risk-neutral volatility of the short-end interest rate term structure. Using data from the Brazil derivatives...

From interbank interest rate option prices, we obtain the implied market expectations for interest rates using a genetic algorithm and a multifactor term structure model. We further analyse how those expectations differ for a subset of options and futures, and whether those expectations...

In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian...

We show that term premia rise when volatility increases in Brazil, whereas the literature shows that volatility is negatively correlated with term premia in advanced economies. We analyze how marketexpectations differ for a subset of options and futures and whether those expectations accurately...

Portuguese Abstract: O objetivo principal deste trabalho é analisar a eventual presença do efeito framing em práticas relacionadas ao orçamento empresarial. Adicionalmente, busca-se investigar se um maior grau de envolvimento com as atividades relativas ao orçamento é marcado por efeito...

We illustrate the role of left tail dependence measures, left exceedance correlation (LEC) and left tail mean (LTM), in equity risk premium (ERP) predictability. LEC and LTM measure the average of pairwise left tail dependency among major equity sectors incorporating shocks that are...

Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper, the importance of seasonal behavior in the volatility for the pricing of commodity options is analyzed. We propose a seasonally varying long-run mean variance process...

In this study, we derived analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth, first, and second-order moments of quadratic forms of the multivariate normal, Student's t, and generalised hyperbolic distributions. The resulting formulae were tested in a...

This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated stress data, we build ideal conditions to assess the adequacy of the metrics in different stress scenarios. In addition, we empirically analyze the evaluation metrics...

This paper investigates the counterparty credit risk of interest rate swaps positions using the credit valuation adjustment (CVA) measure, and examines the potential dependency relationships between the probability of default (PD) and exposure at default (EAD). We empirically tested, using...