Skip to main content
Article thumbnail
Location of Repository

Pricing Asian Interest Rate Options with a Three-Factor HJM Model

By Claudio Henrique da Silveira Barbedo, José Valentim Machado Vicente and Octávio Manuel Bessada Lion

Abstract

Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices those traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.

OAI identifier:

Suggested articles

Citations

  1. A Central de Risco de Crédito no Brasil: uma Análise de Utilidade de Informação Ricardo Schechtman Out/2006
  2. A Neoclassical Analysis of the Brazilian “Lost-Decades” Flávia Mourão Graminho Nov/2006
  3. A New Proposal for Collection and Generation of Information on Financial Institutions’ Risk: the Case of Derivatives Gilneu
  4. A Note on the Efficient Estimation of Inflation in
  5. (1990). A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options",
  6. A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks Roberta Blass Staub and Geraldo da Silva e Souza Oct/2007
  7. A Simple Model for Inflation Targeting in Brazil Paulo Springer de Freitas and Marcelo Kfoury Muinhos Apr/2001
  8. A Taxa de Juros de Equilíbrio: uma Abordagem Múltipla Pedro Calhman de Miranda e Marcelo Kfoury Muinhos Fev/2003
  9. A Test of Competition in Brazilian Banking Márcio I. Nakane Mar/2001
  10. (1985). A Yield Factor Model of Interest Rates,
  11. Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo,e Eduardo Facó Lemgruber Set/2005
  12. Agency Costs and the Performance of the Monetary Policy Leonardo Soriano de Alencar and Márcio I. Nakane Jan/2004
  13. Algumas Considerações sobre a Sazonalidade no IPCA Francisco Marcos R. Figueiredo e Roberta Blass Staub Nov/2001
  14. Amostragem Descritiva no Apreçamento de Opções Européias através de Simulação Monte Carlo:
  15. An Analysis of Off-Site Supervision of Banks’ Profitability, Risk and Capital Adequacy: a Portfolio Simulation Approach Applied to Brazilian Banks Theodore
  16. An Econometric Contribution to the Intertemporal Approach of the Current Account Wagner Piazza Gaglianone and João Victor Issler Dec/2008
  17. (1977). An Equilibrium Characterization of the Term Structure,
  18. An Information Theory Approach to the Aggregation of Log-Linear Models Pedro H. Albuquerque Jul/2000
  19. An Integrated Model for Liquidity Management and Short-Term Asset Allocation in Commercial Banks Wenersamy Ramos de
  20. Análise do Financiamento Externo a uma Pequena Economia Aplicação da Teoria do Prêmio Monetário ao Caso Brasileiro: 1991–1998 Carlos Hamilton Vasconcelos Araújo e Renato Galvão Flôres Júnior Mar/2001
  21. and the Value of Binding Portfolio Constraints Mário
  22. Aplicação da Amostragem por Importância à Simulação de Opções Asiáticas Fora do Dinheiro Jaqueline Terra Moura Marins Dez/2007
  23. (2001). Aplicação do Modelo de Hull-White à Precificação de Opções Sobre IDI. Doctoral Thesis in Business Economics - Fundação Getulio Vargas
  24. (2003). Application of Hull-White Model to Brazilian IDI Options, Anais do Encontro da Sociedade Brasileira
  25. Are Interest Rate Options Important for the Assessment of Interest Rate Risk? Caio Almeida and José Vicente Dec/2008
  26. (2003). Are Interest Rates Derivatives Spanned by the Term Structure of Interest Rates?
  27. As Leis de Falência: uma Abordagem Econômica Aloisio Araujo Dez/2002
  28. Avaliação de Modelos de Cálculo de Exigência de Capital para Risco Cambial Claudio
  29. Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial Alan Cosme Rodrigues da Silva,
  30. Avaliação de Opções Americanas com Barreiras Monitoradas de Forma Discreta Giuliano Carrozza Uzêda Iorio de Souza e Carlos Patrício Samanez Abr/2009
  31. Aversion and House-Money Effect Overseas: an Experimental Approach José
  32. Balance Sheet Effects in Currency Crises: Evidence from Brazil Marcio
  33. Banco Central do Brasil Trabalhos para Discussão Os Trabalhos para Discussão podem ser acessados na internet, no formato PDF, no endereço: http://www.bc.gov.br Working Paper Series Working Papers in PDF format can be downloaded from: http://www.bc.gov.br
  34. Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint Aloísio P. Araújo and José Valentim M. Vicente Oct/2006
  35. Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization José Luiz Barros Fernandes, Juan Ignacio Peña and Benjamin Miranda Tabak Apr/2009
  36. Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test
  37. Can Emerging Markets Float? Should They Inflation Target? Barry Eichengreen Feb/2002
  38. Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies Helio Mori e Marcelo Kfoury Muinhos Aug/2005
  39. Carlo Simulation Option Pricing: the Join Use of Importance Sampling and Descriptive Sampling Jaqueline Terra Moura Marins, Eduardo Saliby and Joséte Florencio dos Santos Sep/2006
  40. Characterizing the Brazilian Term Structure of Interest Rates Osmani
  41. Ciclos Internacionais de Negócios: uma Análise de Mudança de Regime Markoviano para
  42. (2007). Classes of Interest Rate Models under the HJM Framework. Working Paper.
  43. Cointegration in Stock Markets: the Case of Latin America Benjamin Miranda Tabak and Eduardo José Araújo Lima Dec/2002
  44. Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap Marta Areosa Aug/2008
  45. Comparing Equilibrium Real Interest Rates: Different Approaches to Measure Brazilian Rates Marcelo Kfoury Muinhos and Márcio I. Nakane Mar/2006
  46. Complementaridade e Fungibilidade dos Fluxos de Capitais Internacionais Carlos Hamilton Vasconcelos Araújo e Renato Galvão Flôres Júnior Set/2001
  47. Constrained Discretion and Collective Action Problems: Reflections on the Resolution
  48. Contagion: an Analysis of Information Transmission
  49. Contornando os Pressupostos de Black & Scholes: Aplicação do Modelo de Precificação de Opções de Duan no Mercado Brasileiro Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo, Antonio Carlos Figueiredo, Eduardo Facó Lemgruber Out/2003
  50. Credibility and Confidence Crises Rafael Santos and Aloísio Araújo Aug/2007
  51. Crédito: uma Análise Econométrica dos Volumes de Crédito Total e Habitacional no Brasil Ana Carla Abrão Costa Dez/2004
  52. Crises Cambiais e Ataques Especulativos no Brasil Mauro Costa
  53. de Dados de Alta Freqüência na Estimação da Volatilidade e do Valor em Risco para o Ibovespa João Maurício de Souza Moreira e Eduardo Facó Lemgruber Dez/2002
  54. de Hedge Cambial no Brasil: Reação das Instituições Financeiras a Intervenções do Banco Central Fernando N. de Oliveira Dez/2004
  55. Demand for Bank Services and Market Power in Brazilian Banking Márcio I. Nakane, Leonardo S. Alencar and Fabio Kanczuk Jun/2006
  56. Demand for Foreign Exchange Derivatives in Brazil: Hedge or Speculation? Fernando N. de Oliveira and Walter Novaes Dec/2007
  57. Derman & Toy à Precificação de Opções Sobre Títulos de Renda Fixa Octavio Manuel Bessada Lion, Carlos Alberto Nunes Cosenza e César das
  58. Desenvolvimento do Sistema Financeiro e Crescimento Econômico no Brasil: Evidências de Causalidade Orlando Carneiro de Matos Set/2002
  59. Diferenças e Semelhanças entre Países da América Latina: uma Análise de Markov Switching para os
  60. Discriminante das Operações de Crédito das Instituições Financeiras Brasileiras Clodoaldo Aparecido Annibal Jul/2008
  61. Does Curvature Enhance Forecasting? Caio Almeida, Romeu Gomes, André Leite and José Vicente Dec/2007
  62. Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries Thomas Y. Wu May/2004
  63. Efeito da Consignação em Folha nas Taxas de Juros dos Empréstimos Pessoais Eduardo
  64. Effects of Equity Foreign Investors on Emerging Markets Barbara Alemanni and José Renato Haas Ornelas Feb/2008
  65. Entry and Departure: the recent Brazilian experience (1996-2006) Pedro Fachada Jun/2008
  66. Escolha do Banco e Demanda por Empréstimos: um Modelo de Decisão em Duas Etapas Aplicado para o Brasil Sérgio Mikio Koyama e Márcio I. Nakane Dez/2007
  67. Estimando o Produto Potencial Brasileiro: uma Abordagem de Função de Produção Tito Nícias Teixeira da Silva Filho Estimating Brazilian Potential Output: a Production Function Approach Tito Nícias Teixeira da Silva Filho Abr/2001 Aug/2002
  68. Estimating Exchange Market Pressure and Intervention Activity Emanuel-Werner Kohlscheen Nov/2000
  69. Estratégia: uma Abordagem Multiparadigmática para a Disciplina Anthero de Moraes Meirelles Ago/2005
  70. Evaluating Asset Pricing Models in a Fama-French Framework Carlos Enrique Carrasco Gutierrez and Wagner Piazza Gaglianone Dec/2008
  71. Evaluating Value-at-Risk Models via Quantile Regressions Wagner P. Gaglianone, Luiz Renato Lima and Oliver
  72. Evaluation of Default Risk for the Brazilian Banking Sector
  73. Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions Eduardo José Araújo Lima and Benjamin Miranda Tabak Aug/2008
  74. Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998) Adriana Soares Sales and Maria Eduarda Tannuri-Pianto Oct/2007
  75. Fechamento de Bancos com Regulador Não-Benevolente: Resumo e Aplicação Adriana Soares Sales Jul/2008
  76. Filtrada: Incorporação da Volatilidade ao Modelo Histórico de Cálculo de Risco para Ativos Não-Lineares Claudio Henrique da Silveira Barbedo, Gustavo Silva Araújo e Eduardo Facó Lemgruber Abr/2005
  77. Forecasting Bonds Yields in the Brazilian Fixed income Market Jose Vicente
  78. Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil
  79. Forecasting Interest Rates: an Application for Brazil Eduardo
  80. Forecasts in Brazil: performance and determinants Fabia A. de Carvalho and André Minella Apr/2009
  81. Foreign Exchange Market Volatility Information: an investigation of real-dollar exchange rate Frederico Pechir Gomes, Marcelo Yoshio Takami and Vinicius Ratton Brandi Aug/2008
  82. Gains from Commitment, and Inflation Persistence André Minella Aug/2002
  83. Herding Behavior by Equity Foreign Investors on Emerging Markets Barbara Alemanni and José Renato Haas Ornelas Dec/2006
  84. Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves Adriana Soares Sales and Maria Tannuri-Pianto Dec/2007
  85. Identifying Volatility Risk Premium from Fixed Income Asian Options Caio Ibsen R. Almeida and José Valentim M. Vicente May/2007
  86. Implementing Inflation Targeting in Brazil Joel Bogdanski, Alexandre Antonio Tombini and Sérgio Ribeiro da Costa Werlang Jul/2000
  87. Inclusão do Decaimento Temporal na Metodologia Delta-Gama para o Cálculo do VaR de Carteiras Compradas em Opções no Brasil Claudio Henrique da Silveira Barbedo, Gustavo Silva Araújo, Eduardo Facó Lemgruber Out/2003
  88. Indicadores Derivados de Agregados Monetários Fernando de Aquino Fonseca Neto e José Albuquerque Júnior Set/2002
  89. Inflation Targeting in an Open Financially Integrated Emerging Economy: the Case of Brazil Marcelo Kfoury Muinhos Aug/2001
  90. Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos Jul/2003
  91. Inflation Targeting in Brazil: Lessons and Challenges André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos Nov/2002
  92. Inflation Targeting in Brazil: Reviewing Two Years of Monetary Policy
  93. Inflation Targeting in Brazil: Shocks, Backward-Looking Prices, and IMF Conditionality Joel Bogdanski, Paulo Springer de Freitas, Ilan Goldfajn and Alexandre Antonio Tombini Aug/2001
  94. Inflation Targeting in Emerging Market Economies Arminio Fraga, Ilan Goldfajn and André
  95. Insights over the Threshold José
  96. Investigação da Memória de Longo Prazo da Taxa de Câmbio no Brasil Sergio Rubens Stancato de Souza, Benjamin Miranda Tabak e Daniel O. Cajueiro Ago/2006
  97. Is It Worth Tracking Dollar/Real Implied Volatility? Sandro Canesso de Andrade and Benjamin Miranda Tabak Mar/2001
  98. Is the Investment-Uncertainty Link Really Elusive? The Harmful Effects of Inflation Uncertainty in Brazil Tito Nícias Teixeira da Silva Filho Jan/2008
  99. Long-Range Dependence in Exchange Rates: the Case of the European Monetary System Sergio Rubens Stancato de
  100. Macroeconomic Coordination and Inflation Targeting in a Two-Country Model Eui Jung Chang, Marcelo Kfoury Muinhos and Joanílio Rodolpho
  101. Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil – a Corporate Analysis Ricardo Schechtman, Valéria Salomão Garcia, Sergio Mikio Koyama and Guilherme Cronemberger Parente Dec/2004
  102. Medium-Size Macroeconomic Model for the Brazilian Economy Marcelo Kfoury Muinhos and Sergio Afonso Lago Alves Feb/2003
  103. Mensuração do Risco Sistêmico no Setor Bancário com Variáveis Contábeis e Econômicas Lucio Rodrigues Capelletto,
  104. Modelo Estrutural com Setor Externo: Endogenização do Prêmio de Risco e do Câmbio Marcelo Kfoury Muinhos, Sérgio Afonso Lago Alves e Gil Riella Jun/2002
  105. Modelos para a Utilização das Operações de Redesconto pelos Bancos com
  106. Monetary Channels in Brazil through the Lens of a Semi-Structural Model André Minella and Nelson F. Souza-Sobrinho Apr/2009
  107. Monetary Policy and Inflation in Brazil (1975-2000): a VAR Estimation André Minella Nov/2001
  108. Monetary Policy in Brazil: Remarks on the Inflation Targeting Regime, Public Debt Management and Open Market Operations Luiz Fernando Figueiredo, Pedro Fachada and Sérgio Goldenstein Mar/2002
  109. Monte Carlo Simulation Using Simplified Creditmetrics’ Model: the Joint Use of Importance Sampling and Descriptive Sampling Jaqueline Terra Moura Marins and Eduardo Saliby Mar/2007
  110. Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial Caio Almeida, Romeu Gomes, André Leite e José Vicente Out/2007
  111. Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips Curve Model With Threshold for Brazil Arnildo da Silva Correa and André Minella Nov/2006
  112. On Shadow-Prices of Banks in Real-Time Gross Settlement Systems Rodrigo Penaloza Apr/2003
  113. On the Information Content of Oil Future Prices Benjamin Miranda Tabak Feb/2003
  114. Opções sobre Dólar Comercial e Expectativas a Respeito do Comportamento da Taxa de Câmbio Paulo Castor de
  115. Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro Cláudio Henrique da Silveira Barbedo e Gustavo Silva Araújo Mar/2004
  116. Optimal Interest Rate Rules in Inflation Targeting Frameworks José Alvaro Rodrigues Neto, Fabio Araújo and Marta Baltar J.
  117. Os Efeitos da CPMF sobre a Intermediação Financeira Sérgio Mikio Koyama e Márcio I. Nakane Jul/2001
  118. Os Impactos Econômicos da CPMF: Teoria e Evidência Pedro H. Albuquerque Jun/2001
  119. Os Preços Administrados e a Inflação no Brasil Francisco Marcos R. Figueiredo e Thaís
  120. Parity with Fundamentals: a Brazilian Exchange Rate Forecast Model Marcelo Kfoury Muinhos, Paulo Springer de Freitas and Fabio Araújo May/2001
  121. Participation: a Theoretical Justification of the Brazilian Position Sérgio Ribeiro da Costa Werlang Jul/2000
  122. pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras Ricardo Dias de
  123. Performance: Micro Evidence from Brazilian Payroll Loans Ana Carla
  124. Política Monetária e Supervisão do Sistema Financeiro Nacional no Banco Central do Brasil Eduardo Lundberg Monetary Policy and Banking Supervision Functions on the Central Bank Eduardo Lundberg
  125. Preference for Flexibility and Bayesian Updating Gil Riella Dec/2008
  126. Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas André Luís Leite, Romeu Braz Pereira Gomes Filho e José Valentim Machado Vicente Maio/2009
  127. Productivity: Evidence for Brazil Márcio I. Nakane and Daniela B. Weintraub Dec/2004
  128. r-filters: a Hodrick-Prescott Filter Generalization Fabio Araújo, Marta Baltar Moreira Areosa and José Alvaro
  129. Real Balances in the Utility Function: Evidence for Brazil Leonardo Soriano de Alencar and Márcio I. Nakane Feb/2003
  130. Regime no Câmbio Brasileiro Carlos Hamilton V. Araújo e Getúlio B. da Silveira Filho Jun/2002
  131. Regras Monetárias e Dinâmica Macroeconômica no Brasil: uma Abordagem de Expectativas Racionais Marco Antonio Bonomo e Ricardo D.
  132. Representing Roommate’s Preferences with Symmetric Utilities José Alvaro Rodrigues Neto Apr/2006
  133. Returns and Volatility Benjamin Miranda Tabak and Solange Maria
  134. Rigidity in Brazil: Evidence from CPI Micro Data Solange Gouvea Sep/2007
  135. Risco e o Spread Bancário no Brasil Fernando G. Bignotto e Eduardo Augusto de Souza
  136. (1996). Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt,
  137. Rules: the Case of Brazil Charles Lima de Almeida, Marco Aurélio Peres,
  138. Searching for the Natural Rate of Unemployment in a Large Relative Price Shocks’ Economy: the Brazilian Case Tito Nícias Teixeira da Silva Filho May/2008
  139. Selection of Optimal Lag Length inCointegrated VAR Models with Weak Form of Common Cyclical Features Carlos Enrique Carrasco Gutiérrez, Reinaldo Castro Souza and Osmani Teixeira de Carvalho Guillén Jun/2007
  140. Smooth Exchange Rate Risk? Ilan Goldfajn and Marcos Antonio Silveira Sep/2002
  141. Speculative Attacks on Debts and Optimum Currency Area: a Welfare Analysis Aloisio Araujo and Marcia Leon May/2004
  142. Speculative Attacks on Debts, Dollarization and Optimum Currency Areas Aloisio Araujo and Márcia Leon Apr/2002
  143. Steady-State Analysis of an Open Economy General Equilibrium Model for Brazil Mirta Noemi Sataka Bugarin, Roberto de Goes Ellery Jr., Victor Gomes Silva, Marcelo Kfoury Muinhos Apr/2005
  144. Surprises and the Brazilian Term Structure of Interest Rates Benjamin Miranda Tabak Feb/2003
  145. System: Resilience to Shocks, no Currency Substitution, but Struggling to Promote Growth Ilan Goldfajn, Katherine Hennings and Helio
  146. Taming Inflation Expectations Afonso
  147. Term Structure Movements Implicit in Option Prices Caio Ibsen R. Almeida and José Valentim M. Vicente Dec/2006
  148. Testing Hyperinflation Theories Using the Inflation Tax Curve: a case study Fernando de Holanda Barbosa and Tito Nícias Teixeira da Silva Filho Jul/2008
  149. Testing Nonlinearities Between Brazilian Exchange Rates and Inflation Volatilities Cristiane R. Albuquerque and Marcelo Portugal May/2006
  150. Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates Benjamin Miranda Tabak and Sandro Canesso de Andrade Nov/2001
  151. the Business Cycle: a Kalman Filter Approach with Markov Switching Ryan A. Compton and Jose Ricardo da Costa e Silva Aug/2005
  152. The Correlation Matrix of the Brazilian Central Bank’s Standard Model for Interest Rate Market Risk José Alvaro Rodrigues Neto Sep/2000
  153. The Determinants of Bank Interest Spread in Brazil Tarsila Segalla Afanasieff, Priscilla Maria Villa Lhacer and Márcio I. Nakane Aug/2002
  154. The Dynamic Relations between Stock Prices and Exchange Rates: Evidence for Brazil Benjamin M. Tabak Nov/2006
  155. The Effect of Adverse Supply Shocks on Monetary Policy and Output Maria da Glória D.
  156. The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: a Case Study of Telemar Call Options Claudio Henrique da Silveira Barbedo and Eduardo Facó Lemgruber Oct/2007
  157. The Effects of the Brazilian ADRs Program on Domestic Market Efficiency Benjamin Miranda Tabak and Eduardo José Araújo
  158. The Incidence of Reserve Requirements in Brazil: Do Bank Stockholders Share the Burden? Fábia A. de Carvalho and Cyntia F. Azevedo Feb/2008
  159. The Inequality Channel of Monetary Transmission Marta Areosa and Waldyr Areosa Aug/2006
  160. The Pass-Through from Depreciation to Inflation: a Panel Study Ilan Goldfajn and Sérgio Ribeiro da Costa Werlang Jul/2000
  161. The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case Benjamin Miranda Tabak Dec/2002
  162. The Recent Brazilian Disinflation Process and Costs Alexandre A. Tombini and Sergio A. Lago Alves Jun/2006
  163. The Role of Banks in the Brazilian Interbank Market: Does Bank Type Matter? Daniel O. Cajueiro
  164. The Role of Consumer’s Risk Aversion on Price Rigidity Sergio A. Lago Alves and Mirta
  165. (2006). The Role of Fixed Income Options on the Risk Assessment of Bond Portfolios, Working
  166. The Stability-Concentration Relationship in the Brazilian Banking System Benjamin Miranda Tabak, Solange Maria Guerra, Eduardo José Araújo Lima and Eui Jung Chang Oct/2007
  167. Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial Felipe Pinheiro, Caio Almeida e José Vicente Out/2007
  168. Uma Definição Operacional de Estabilidade de Preços Tito Nícias Teixeira da Silva Filho Dez/2001
  169. Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil Ricardo Schechtman Dec/2006
  170. Using a Money Demand Model to Evaluate Monetary Policies in Brazil Pedro H. Albuquerque and Solange Gouvêa Nov/2001
  171. Validation of Credit Rating PDs under Default Correlation Ricardo Schechtman Oct/2007
  172. Volatilidade Implícita e Antecipação de Eventos de Stress: um Teste para o Mercado Brasileiro Frederico Pechir Gomes Mar/2002
  173. with Sovereign Credit Risk: an Empirical Test Victorio Yi Tson Chu Sep/2002
  174. without the LM Curve Victorio

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.