Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. ...

The risks that an organization faces can be of a different nature. The most common risks we face are: market risk, credit risk, liquidity risk, operational risk and business risk.

This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...

The continuous development of new financial instruments brings more and more investment options for market participants. These investment options also bring a bigger necessity to evaluate the risk embedded in these new ...

This paper defends the wisdom of not considering the Digital Economy to be one homogeneous sector. Our hypothesis is that it is best to consider it the result of adding four different subsectors. We test whether indeed the ...

This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The ...

As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian ...

This paper seeks to examine the competitive behavior of the Brazilian banking industry by conducting an analysis at the level of individual banks to gain an understanding of how the risk-taking behaviors of banks are ...