Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks [PDF]
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.
Benjamin M. Tabak +2 more
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Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil [PDF]
This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market.
Benjamin M. Tabak +2 more
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Credit Risk Monte Carlos Simulation Using Simplified Creditmetrics' Model: the joint use of importance sampling and descriptive sampling [PDF]
Monte Carlo simulation is implemented in some of the main models for estimating portfolio credit risk, such as CreditMetrics, developed by Gupton, Finger and Bhatia (1997). As in any Monte Carlo application, credit risk simulation according to this model
Eduardo Saliby +1 more
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ConTexto, 2018 O debate sobre inconsistências do atual padrão de conversão de demonstrações contábeis encontra-se cada vez mais acalorado, especialmente no que tange ao nível de representação fidedigna que tal prática proporciona às peças contábeis. Este artigo foca na proposta alternativa idealizada por Szuster e Szuster (2003), objetivando analisar, em diferentes ...
Matts, Júlia Sari +2 more
openaire +2 more sources
Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy [PDF]
This paper presents empirical evidence suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents
Benjamin M. Tabak +1 more
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Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling [PDF]
As in any Monte Carlo application, simulation option valuation produces imprecise estimates. In such an application, Descriptive Sampling (DS) has proven to be a powerful Variance Reduction Technique.
Eduardo Saliby +2 more
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Characterizing the Brazilian Term Structure of Interest Rates [PDF]
This paper studies the Brazilian term structure of interest rates and characterizes how the term premia has changed over time. We employ a Kalman filter approach, which is extended to take into account regime switches and overlapping forecasts errors ...
Benjamin M. Tabak, Osmani T. Guillen
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Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap [PDF]
Many models were used to identify the factors affecting the demand for overnight funds by commercial banks. Theses models overcome overdispersion problems caused by excess of zeros found in the dataset. Generalized Linear Latent and Mixed Models (GLLAMM)
Marta Areosa
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Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil [PDF]
This paper presents measures of long-range dependence in daily exchange rates of the Brazilian Real against the US Dollar, taken from 1995 to 2004 employing the classical R/S analysis with a rolling sample.
Benjamin Miranda Tabak +2 more
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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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