Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Marcelo Yoshio Takami"'
Publikováno v:
Revista Brasileira de Finanças, Vol 9, Iss 1, Pp 9-26 (2011)
Building Risk-Neutral Density (RND) from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the op
Externí odkaz:
https://doaj.org/article/c55014fbe4234891a4244bf68b39e206
Autor:
Marcelo Yoshio Takami
Publikováno v:
Biblioteca Digital de Teses e Dissertações da USPUniversidade de São PauloUSP.
A teoria de opções propicia um vasto campo de aplicações. No Brasil, a aplicação desta teoria à estabilidade financeira vem se tornando cada vez mais favorável: 1) pela relativa estabilidade da economia, 2) pela determinação do Banco Centra
Autor:
Marcelo Yoshio Takami
Publikováno v:
Advances in the Practice of Public Investment Management ISBN: 9783319902449
This chapter presents large-scale estimated models, one for each country, representing factors driving changes in credit default swap (CDS) spreads of 35 sovereigns. I estimate the models and test their robustness using data from July 2005 to July 20
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f55d9ea3edeb4e28c3e5cff3976a376
https://doi.org/10.1007/978-3-319-90245-6_7
https://doi.org/10.1007/978-3-319-90245-6_7
Autor:
Jadson M.C. Rocha, Sergio Rubens Stancato de Souza, Benjamin Miranda Tabak, Daniel O. Cajueiro, Marcelo Yoshio Takami
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 394:211-216
Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::309577bb45aeba3f2bd5e4abb1b82bf4
https://doi.org/10.1016/j.physa.2013.09.010
https://doi.org/10.1016/j.physa.2013.09.010
Publikováno v:
Journal of Banking Regulation. 12:167-179
This article proposes a methodological framework to construct an early warning system for the Banking sector. It employs an options-based methodology to estimate default risk for six major Brazilian banks and shows that these measures have informatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8750bcd8a4e730437a85d7126045a5b8
https://doi.org/10.1057/jbr.2010.21
https://doi.org/10.1057/jbr.2010.21
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 388:59-62
This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8d71d6c9985a11ce88cf6c89bf758e8f
https://doi.org/10.1016/j.physa.2008.09.028
https://doi.org/10.1016/j.physa.2008.09.028
Publikováno v:
Chaos, Solitons & Fractals. 38:755-763
Assessing the markets perception of future interest and inflation rate volatility is of crucial importance to assess the evolution of expectations in an inflation targeting framework. This article aims to evaluate the information content of implied v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1579250376e48f1bf33ede91078b88c9
https://doi.org/10.1016/j.chaos.2007.01.038
https://doi.org/10.1016/j.chaos.2007.01.038
Publikováno v:
Revista Brasileira de Economia, Vol 62, Iss 2, Pp 161-176 (2008)
Revista Brasileira de Economia, Volume: 62, Issue: 2, Pages: 161-176, Published: JUN 2008
Revista Brasileira de Economia v.62 n.2 2008
Revista Brasileira de Economia
Fundação Getulio Vargas (FGV)
instacron:FGV
Revista Brasileira de Economia, Volume: 62, Issue: 2, Pages: 161-176, Published: JUN 2008
Revista Brasileira de Economia v.62 n.2 2008
Revista Brasileira de Economia
Fundação Getulio Vargas (FGV)
instacron:FGV
Price distributions forecast has become a relevant subject for risk and pricing literature. Special concern resides on tail probabilities, which usually present more severe observations than Normal distributions would predict. This work aims to verif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c69ee2c2f28764088bae5d6670beb04c
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402008000200002
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402008000200002
Autor:
Marcelo Yoshio Takami
Publikováno v:
SSRN Electronic Journal.
During a financial crisis, which counterparties we would prefer not to be exposed to? This paper addresses this issue in the context of the 2007-2009 crisis by proposing three market-based measures (two are based on credit default swap spreads and th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fac96ecdc6ddf3b05c5e437504728dae
https://doi.org/10.2139/ssrn.1523912
https://doi.org/10.2139/ssrn.1523912
Price distributions estimation has become a relevant subject for risk and pricing literature. Special concern resides on tail probabilities, which usually presents more severe observations than those predicted by Normal distributions. This work aims
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::418f2ecb0d81433618dc0009d67a9c48
http://www.bcb.gov.br/pec/wps/ingl/wps174.pdf
http://www.bcb.gov.br/pec/wps/ingl/wps174.pdf