|
|
|
|
|
Claudio Henrique Barbedo,Octávio Bessada Lion,Jose Valentim Machado Vicente
Pág. 9 - 23
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 informa...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ronny Kim Woo,José Valentim Machado Vicente,Claudio Henrique Barbedo
Pág. p. 485 - 501
The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented,...
ver más
|
|
|
|
|
|
|
|
|
|
|
Alan Cosme Rodrigues da Silva,Claudio Henrique da Silveira Barbedo,Gustavo Silva Araújo,Myrian Beatriz Eiras das Neves
Pág. pp. 97 - 118
The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simul...
ver más
|
|
|
|
|
|