We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occur with certain probability penalized by the dispersion of results worse than such expectation. The SDR combines the Expected Shortfall (ES) and the Shortfall Deviation (SD), which we also...

We investigate whether there is a pattern regarding the quality of several models and methods in expected shortfall (ES) estimation, considering distinct asset classes, estimation windows and significance levels. We use unconditional, conditional and quantile/expectile regression-based models....

This paper aims to determine if during the recent European financial crisis European markets are efficient in the weak form, as well to introduce an approach to properly predict daily risk of portfolios composed by these market assets, considering their dependence structure. We use daily data...

This paper proposes an approach based on copula families to determine shape and magnitude of non-linear serial and cross-interdependence between returns and volatilities of financial assets. It is evident the predominance of the student’s t copula in returns relationships. Association in tails...

In this paper, we identify the bid-ask spread components in the Brazilian market at intraday high frequency. To do so, we use data from all stocks that compose the Ibovespa in 10-minute frequencies from January to March of 2013. We use the model of Huang and Stoll (1997). Preliminary results...

In this paper we analyze intraday data on a 10-minute interval and compared the major market index in South America, the Ibovespa and sync up with the S&P500 in New York. The main target is to determine differences of volatility, in the Brazilian index, before and after the opening bell in New...

In this note we present an algorithm for portfolio ES estimation through Pair Copula Construction. The advantages of this method are the flexibility in what dependence structure is determined, as well as the simplicity of simulation procedures. We illustrate our approach with a brief empirical...

In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through Pair Copula Construction. We use daily data from indices which represent telecommunications, energy, industrials, consumer, financial, basic materials and real estate sectors in...

Knowledge of dependence pattern in stock market has paramount importance for both theoretical and practical in financial markets. Their usefulness is wide, can be used in portfolio predictability (of portfolio) and risk management. The aim of this paper is to investigate the autoregressive...

We present in this paper a dynamic hedging strategy for futures based exclusively on copula functions. We develop an algorithm based on numerical simulations from estimated copula and marginal probability function to obtain innovations. We illustrate our approach through an empirical example...