Evaluating Asset Pricing Models in a Fama-French Framework [PDF]
In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S.
Carlos Enrique Carrasco Gutierrez +1 more
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Risco de crédito, de liquidez e de taxa de juro
, 2019 Este trabalho de investigação tem como objetivo principal analisar a importância na decisão de crédito bancário, da introdução das operações de factoring, de confirming e documentárias, como instrumentos mitigadores do risco de crédito, de liquidez e de taxa de juro, com enfoque na concessão de crédito às empresas (PME), em especial em contexto ...
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Term Structure Movements Implicit in Option Prices [PDF]
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 ...
Caio Ibsen R. Almeida +1 more
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Algumas Considerações Sobre o Mercado de Taxa de Juros Brasileiro
Revista de Economia Mackenzie, 2007 The existence and magnitude of risk premiums in the Brazilian term structure is not clear, particularly because it’s a market in the process of development. Some year ago the Brazilian Central Bank created a system to measure market expectations for economic indicators, including the interest rates, and then give inputs to the inflation target regime ...
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Estimation of Economic Capital Concerning Operational Risk in a Brazilian Banking Industry Case [PDF]
The advance of globalization of the international financial market has implied a more complex portfolio risk for the banks. Furthermore, several points such as the growth of e-banking and the increase in accounting irregularities call attention to ...
Délio José Cordeiro Galvão +2 more
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Revista de Estudos SociaisO presente estudo teve como objetivo geral da pesquisa analisar o papel das taxas de juros na política monetária brasileira após a implantação do regime de metas de inflação. O ponto de partida usado foi a discussão teórica sobre a neutralidade da moeda e do Novo Consenso Macroeconômico.
Leandro, Djanira +3 more
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Inflation Targeting, Credibility and Confidence Crises [PDF]
We study the interplay between the central bank transparency, its credibility, and the inflation target level. Based on a model developed in the spirit of the global games literature, we argue that whenever a weak central bank adopts a high degree of ...
Aloisio Araujo, Rafael Santos
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Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change [PDF]
This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006.
Abbara, Omar +2 more
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Administrando risco de taxas de juros em instituições financeiras [PDF]
Caderno de Estudos, 1994 openaire +2 more sources
The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default [PDF]
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 ...
Alan Cosme Rodrigues da Silva +4 more
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