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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Os impactos da volatilidade cambial nas exportações brasileiras de soja para a China [PDF]
, 2018 openaire +1 more source
Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability [PDF]
This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions.
Benjamin Miranda Tabak +1 more
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Pessimistic Foreign Investors and Turmoil in Emerging Markets: the case of Brazil in 2002 [PDF]
Using survey data, we document that foreign-owned institutions became more pessimistic than locally owned institutions about the strength of the Brazilian currency around the 2002 presidential elections.
Emanuel Kohlscheen, Sandro C. Andrade
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Evaluation of Default Risk for The Brazilian Banking Sector [PDF]
This paper employs new methods to measure and monitor risk in the Brazilian banking sector. We prove that the option-based risk measure is negatively sensitive to interest rates.
Benjamin M. Tabak, Marcelo Y. Takami
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O Regime Cambial Brasileiro: Flutuação Genuína ou Medo de Flutuação? [PDF]
Cecília Rutkoski Hoff +1 more
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Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados [PDF]
Hotta, Luiz Koodi +1 more
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Uma Proposição de Regime Cambial para a Economia Brasileira [PDF]
Fernando Ferrari Filho +1 more
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A ECONOMIA POLÍTICA DA DESVALORIZAÇÃOCAMBIAL: OS EFEITOS ASSIMÉTRICOS DO DESALINHAMENTO CAMBIAL NO CONFLITOINTER-CLASSES [PDF]
ALEXANDRE M. F. SARQUIS +3 more
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