A short review of the literature discusses different approaches on strategy, their agreeded and disagreeded points, and also discusses the foundations that are used to separate multiple perspectives on the subject according to several scholars. The paradigm distinction proposed by Burrell &...

This paper presents a small-scale structural model to the Brazilian economy with an external block. The nominal exchange rate forecast is based on an uncovered interest rate, which is estimated in monthly terms since the switching of the exchange regime in 1999. As a risk premium measurement,...

This paper examines the impact of payroll debit loans - a Brazilian new modality of credit - on interest rates. The main characteristic of the new credit operation is the enforcement of a direct deduction of amortizations from personal payroll checks. Adapting a matching strategy proposed by...

The purpose of this paper is to evaluate the effect of dimensionality and probability of exercise of a European call option on the precision improvements obtained by the usage of Descriptive Sampling on a Monte Carlo Simulation to price such derivative as opposed to the use of traditional Simple...

The Duan Options Pricing Model is an alternative to the Black & Scholes Model (B&S), but considers the heteroskedasticity and the non-normality of the asset-returns. This study analyzes the performance and the characteristics of this model when applied to the Brazilian market, specifically on...

This paper aims at verifying the nature of the relationship between financial development and economic growth in Brazil. From the theoretical point-of-view, although the prevailing view through which financial development generate direct impacts on economic growth, there are distinct positions....

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This paper examines models of capital requirement determination for financial institutions in order to cover market risk stemming from exposure to foreign currencies and gold. The models examined belong to two groups according to the approach involved: standardized and internal models. In the...

This paper presents the derivation of risk neutral probability distributions implied in the prices of call options on the "commercial dollar" (in Reals, the Brazilian currency), negotiated in the Mercantile and Futures Exchange of São Paulo, Brazil. These distributions were used to analyze the...

This study investigates the relation between absolute levels of credit risk capital requirements, bank solvency rates and stress scenarios of corporate default rates. The methodology is based on a resampling procedure developed based on the ideas of Carey (2002), which is used to estimate credit...