17 Brazilian Finance Society Meeting

Brasilia, Brazil

 
July 20, 2017
 
07:30 to 08:15Registration
 
 
08:15 to 09:00Open Ceremony, Auditório São Francisco de Assis
 
 
09:00 to 10:15Plenary Session: Markus Brunnermeier (Princeton University), "The I theory of Money: Interaction between Financial Stability and Price Stability", Auditório São Francisco de Assis
 
 
10:15 to 10:45Coffee Break
 
 
10:45 to 12:45Contributed Sessions I
 
 
12:45 to 14:15Lunch
 
 
14:15 to 16:00Invited Session: -Alan Moreira (U. Yale), "Should Long-Term Investors Time Volatility?". Discussant: André Portela Santos (UFSC) -Boris Valleé (Harvard Business School), "Financial Innovation and Stock Market Participation". Discussant: Lars Norden (FGV/EBAPE) , Auditório São Francisco de Assis
 
 
16:00 to 16:30Coffee Break
 
 
16:30 to 18:30Contributed Sessions II
 
 
 
July 21, 2017
 
08:30 to 09:30Registration
 
 
09:30 to 10:30Short-Course: Pietro Veronesi (Chicago Booth), "Politics and Asset Prices", Auditório São Francisco de Assis
 
 
10:30 to 11:00Coffee Break
 
 
11:00 to 12:15Plenary Session: Stefan Nagel (Chicago Booth), "The High-Dimensionality Challenge in Cross-Sectional Asset Pricing" , Auditório São Francisco de Assis
 
 
12:15 to 13:45Lunch
 
 
13:45 to 15:45Contributed Sessions III
 
 
15:45 to 16:15Coffee Break
 
 
16:15 to 17:30Plenary Session: Gustavo Manso (Haas U. Berkeley), "Heterogeneous Innovation Over the Business Cycle" , Auditório São Francisco de Assis
 
 
17:30 to 18:30SBFin General Assembly , Auditório São Francisco de Assis
 
 
19:30 to 23:00Conference Dinner
 
 
 
July 22, 2017
 
07:30 to 08:30Registration
 
 
08:30 to 10:30Contributed Sessions IV
 
 
10:30 to 11:30Short-Course: Pietro Veronesi (Chicago Booth), "Politics and Asset Prices", Auditório São Francisco de Assis
 
 
11:30 to 12:00Coffee Break
 
 
12:00 to 13:15Plenary Session: Armando Gomes (Washington University in St. Louis), "Information Production by Intermediaries: Relative Valuation and Balanced Designs" , Auditório São Francisco de Assis
 
 
13:15 to 13:30Closing Remarks
 
 
13:30 to 15:00Lunch
 
 

 

Program Notes and Index of Sessions

Open Ceremony
Auditório São Francisco de Assis
July 20, 2017 08:15 to 09:00
 
José Fajardo, Patrick Behr. Rbfin Prize: Marcio Laurini

Plenary Session: Markus Brunnermeier (Princeton University), "The I theory of Money: Interaction between Financial Stability and Price Stability"
Auditório São Francisco de Assis
July 20, 2017 09:00 to 10:15
 
Chair: José Fajardo

Contributed Sessions I
July 20, 2017 10:45 to 12:45
 
Corporate Finance I, B-103
Econometric and Numerical Methods I, B-104
Investments II, B-105
Investments I (English), B-102

Invited Session: -Alan Moreira (U. Yale), "Should Long-Term Investors Time Volatility?". Discussant: André Portela Santos (UFSC) -Boris Valleé (Harvard Business School), "Financial Innovation and Stock Market Participation". Discussant: Lars Norden (FGV/EBAPE)
Auditório São Francisco de Assis
July 20, 2017 14:15 to 16:00
 
Chair: Emerson Marçal

Contributed Sessions II
July 20, 2017 16:30 to 18:30
 
Corporate Finance II (English), B-102
Investments III, B-103
Investments IV, B-104
Econmetrics and Numerical Methods II, B-105
Derivatives and Risk I, B-108

Short-Course: Pietro Veronesi (Chicago Booth), "Politics and Asset Prices"
Auditório São Francisco de Assis
July 21, 2017 09:30 to 10:30
 
Chair: Henrique Castro

Plenary Session: Stefan Nagel (Chicago Booth), "The High-Dimensionality Challenge in Cross-Sectional Asset Pricing"
Auditório São Francisco de Assis
July 21, 2017 11:00 to 12:15
 
Chair: Caio Almeida

Contributed Sessions III
July 21, 2017 13:45 to 15:45
 
Investments V (English), B-102
Derivatives and Risk II (English), B-108
Corporate Finance III, B-103
Investments VI, B-104
Econometrics and Numerical Methods III, B-105

Plenary Session: Gustavo Manso (Haas U. Berkeley), "Heterogeneous Innovation Over the Business Cycle"
Auditório São Francisco de Assis
July 21, 2017 16:15 to 17:30
 
Chair: Bruno Giovanetti

SBFin General Assembly
Auditório São Francisco de Assis
July 21, 2017 17:30 to 18:30
 
Presentation by Board Members and Fiscal Council

Contributed Sessions IV
July 22, 2017 08:30 to 10:30
 
Econometrics and Numerical Methods IV (English), B-102
Derivatives and Risk III, B-103
Investments VII (English), B-108
Econometrics and Numerical Methods V, B-104
Derivatives and Risk IV, B-105

Short-Course: Pietro Veronesi (Chicago Booth), "Politics and Asset Prices"
Auditório São Francisco de Assis
July 22, 2017 10:30 to 11:30
 
Chair: Emerson Marçal

Plenary Session: Armando Gomes (Washington University in St. Louis), "Information Production by Intermediaries: Relative Valuation and Balanced Designs"
Auditório São Francisco de Assis
July 22, 2017 12:00 to 13:15
 
Chair: Patrick Behr

Closing Remarks
July 22, 2017 13:15 to 13:30

 

Summary of All Sessions

Click here for an index of all participants

#Date/TimeLocationTypeTitlePapers
1July 20, 2017
10:45-12:45
B-103 contributed Corporate Finance I3
2July 20, 2017
10:45-12:45
B-104 contributed Econometric and Numerical Methods I4
3July 20, 2017
10:45-12:45
B-105 contributed Investments II4
4July 20, 2017
10:45-12:45
B-102 contributed Investments I (English)4
5July 20, 2017
14:15-16:00
Auditório São Francisco de Assis invited Invited Session0
6July 20, 2017
16:30-18:30
B-102 contributed Corporate Finance II (English)4
7July 20, 2017
16:30-18:30
B-108 contributed Derivatives and Risk I3
8July 20, 2017
16:30-18:30
B-105 contributed Econmetrics and Numerical Methods II4
9July 20, 2017
16:30-18:30
B-103 contributed Investments III3
10July 20, 2017
16:30-18:30
B-104 contributed Investments IV4
11July 21, 2017
13:45-15:45
B-103 contributed Corporate Finance III4
12July 21, 2017
13:45-15:45
B-108 contributed Derivatives and Risk II (English)4
13July 21, 2017
13:45-15:45
B-105 contributed Econometrics and Numerical Methods III4
14July 21, 2017
13:45-15:45
B-102 contributed Investments V (English)4
15July 21, 2017
13:45-15:45
B-104 contributed Investments VI4
16July 22, 2017
8:30-10:30
B-103 contributed Derivatives and Risk III4
17July 22, 2017
8:30-10:30
B-105 contributed Derivatives and Risk IV3
18July 22, 2017
8:30-10:30
B-102 contributed Econometrics and Numerical Methods IV (English)4
19July 22, 2017
8:30-10:30
B-104 contributed Econometrics and Numerical Methods V3
20July 22, 2017
8:30-10:30
B-108 contributed Investments VII (English)4
 

20 sessions, 71 papers, and 0 presentations with no associated papers


 

17 Brazilian Finance Society Meeting

Detailed List of Sessions

 
Session 1: Corporate Finance I
July 20, 2017 10:45 to 12:45
B-103
 
Session Chair: Paulo Terra, FGV-EAESP
Session type: contributed
 

The Tag Along concern for the Shareholders and Firm’s Wealth
   presented by: Cristiano Forti, Universidade Federal de Uberlandia
   Discussant:   Joelson Sampaio, USP
 

Dotcom Price Spiral
[slides]
   presented by: Joelson Sampaio, USP
   Discussant:   Paulo Terra, FGV-EAESP
 

Estrutura de Capital e Mecanismos Externos de Governança: uma Análise Multipaís
   presented by: Paulo Terra, FGV-EAESP
   Discussant:   Cristiano Forti, Universidade Federal de Uberlandia
 
Session 2: Econometric and Numerical Methods I
July 20, 2017 10:45 to 12:45
B-104
 
Session Chair: Carlos Carrasco-Gutierrez, Universidade Católica de Brasília
Session type: contributed
 

Estratégias de Investimento em Portfólios em Períodos de Incerteza no Mercado Financeiro
   presented by: Andre Oliveira, São Paulo School of Economics and CEQEF
   Discussant:   Pedro Chaim, FEARP-USP
 

Foreign Exchange Expectation Errors and Filtration Enlargements
   presented by: Pedro Chaim, FEARP-USP
   Discussant:   Leandro Maciel, Universidade Federal do Rio de Janeiro
 

Financial interval time series forecasting and forecast combination: Empirical evidence for US and Brazilian stock markets
   presented by: Leandro Maciel, Universidade Federal do Rio de Janeiro
   Discussant:   Carlos Carrasco-Gutierrez, Universidade Católica de Brasília
 

Evaluating the Performance of Common-Factor Portfolios
   presented by: Carlos Carrasco-Gutierrez, Universidade Católica de Brasília
   Discussant:   Andre Oliveira, São Paulo School of Economics and CEQEF
 
Session 3: Investments II
July 20, 2017 10:45 to 12:45
B-105
 
Session Chair: Gustavo Araujo, Banco Central do Brasil
Session type: contributed
 

Análise de desempenho da integração entre otimização de portfólio e estratégias da análise técnica no mercado de ações brasileiro.
   presented by: Bruno Barroso, CEFET MG
   Discussant:   Valéria Saturnino, Universidade Federal de Pernambuco - UFPE
 

Overreaction no Brasil de 1996 a 2015: Explicações Fundamentalistas e Comportamentais.
   presented by: Valéria Saturnino, Universidade Federal de Pernambuco - UFPE
   Discussant:   Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul
 

Performance of Pairs Trading on the S&P 500: Distance and Copula-GARCH models
   presented by: Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul
   Discussant:   Gustavo Araujo, Banco Central do Brasil
 

DOES INVESTOR ATTENTION AFFECT TRADING VOLUME IN THE BRAZILIAN STOCK MARKET?
   presented by: Gustavo Araujo, Banco Central do Brasil
   Discussant:   Bruno Barroso, CEFET MG
 
Session 4: Investments I (English)
July 20, 2017 10:45 to 12:45
B-102
 
Session Chair: Marco Bonomo, Insper
Session type: contributed
 

Sentiment, Electoral Uncertainty and Stock Returns
   presented by: Eduardo Zilberman, Pontifícia Universidade Católica do Ri
   Discussant:   Fernando Chague, University of Sao Paulo
 

Uncovering Skilled Short-sellers
   presented by: Fernando Chague, University of Sao Paulo
   Discussant:   Ruy Ribeiro, Pontifical Catholic University
 

Gambling, Risk Appetite and Asset Pricing
   presented by: Ruy Ribeiro, Pontifical Catholic University
   Discussant:   Marco Bonomo, Insper
 

Loan Fee Dispersion and the Cross-Section of Returns
   presented by: Marco Bonomo, Insper
   Discussant:   Eduardo Zilberman, Pontifícia Universidade Católica do Ri
 
Session 5: Invited Session
July 20, 2017 14:15 to 16:00
Auditório São Francisco de Assis
 
Session type: invited
 
Session 6: Corporate Finance II (English)
July 20, 2017 16:30 to 18:30
B-102
 
Session Chair: Rogerio Mazali, Catholic University of Brasilia
Session type: contributed
 

Access to Credit and Financial Health: Evaluating the Impact of Debt Collection
   presented by: Julia Fonseca, Princeton University
   Discussant:   Marco Bonomo, Insper
 

The Impact of Government-Driven Loans in the Monetary Transmission Mechanism: what can we learn from firm-level data?
   presented by: Marco Bonomo, Insper
   Discussant:   Lars Norden, Getulio Vargas Foundation
 

Informational Synergies in Consumer Credit
   presented by: Lars Norden, Getulio Vargas Foundation
   Discussant:   Rogerio Mazali, Catholic University of Brasilia
 

The Role of Commitment in the Financing of Status Goods Production
   presented by: Rogerio Mazali, Catholic University of Brasilia
   Discussant:   Julia Fonseca, Princeton University
 
Session 7: Investments III
July 20, 2017 16:30 to 18:30
B-103
 
Session Chair: Sabrina Silva, CEPEAD/UFMG
Session type: contributed
 

Decisões de investimento e dinâmicas do market share num duopólio sob incerteza e irreversibilidade
   presented by: Yaohao Peng, University of Brasilia
   Discussant:   Luís Nunes, Univerdade Federal de Santa catarina
 

SWITCH AND DEFER OPTION IN RENEWABLE ENERGY PROJECTS
   presented by: Luís Nunes, Univerdade Federal de Santa catarina
   Discussant:   Sabrina Silva, CEPEAD/UFMG
 

A taxa de administração sinaliza a performance dos fundos de ações?
   presented by: Sabrina Silva, CEPEAD/UFMG
   Discussant:   Yaohao Peng, University of Brasilia
 
Session 8: Investments IV
July 20, 2017 16:30 to 18:30
B-104
 
Session Chair: Jose Ornelas, Banco Central do Brasil
Session type: contributed
 

Reações a Choques Macroeconômicos no Brasil: Quando a Arbitragem é Eficaz ou Limitada?
   presented by: Valéria Saturnino, Universidade Federal de Pernambuco - UFPE
   Discussant:   Lucas Mariani, University of North Carolina
 

Do political shocks threaten sovereign spreads? Evidence from Emerging Markets.
   presented by: Lucas Mariani, University of North Carolina
   Discussant:   Gustavo Araujo, Banco Central do Brasil
 

Estimação da Inflação Implícita de Curto Prazo
   presented by: Gustavo Araujo, Banco Central do Brasil
   Discussant:   Jose Ornelas, Banco Central do Brasil
 

Risco, Dívida e Alavancagem Soberana
   presented by: Jose Ornelas, Banco Central do Brasil
   Discussant:   Valéria Saturnino, Universidade Federal de Pernambuco - UFPE
 
Session 9: Econmetrics and Numerical Methods II
July 20, 2017 16:30 to 18:30
B-105
 
Session Chair: Adriano Faria, Fundação Getúlio Vargas/ EPGE
Session type: contributed
 

The Predictive Power of Forward Rates
   presented by: Emanuelle Smaniotto, UFRGS
   Discussant:   Diego Brandão, Getulio Vargas Foundation
 

Estimation of Misspecified Asset Pricing Models with Multiple Entropic Estimators
   presented by: Diego Brandão, Getulio Vargas Foundation
   Discussant:   Filipe Stona, UFRGS
 

The yield curve dynamics in a small emerging economy and its interactions
   presented by: Filipe Stona, UFRGS
   Discussant:   Adriano Faria, Fundação Getúlio Vargas/ EPGE
 

A Hybrid Spline-Based Parametric Model for the Real Yield Curve
   presented by: Adriano Faria, Fundação Getúlio Vargas/ EPGE
   Discussant:   Emanuelle Smaniotto, UFRGS
 
Session 10: Derivatives and Risk I
July 20, 2017 16:30 to 18:30
B-108
 
Session Chair: Fernanda Müller, Universidade Federal do Rio Grande do Sul
Session type: contributed
 

Pricing Path-Dependent Derivatives in Fixed Income Markets: a New Approach
   presented by: JUAN BLADIMIRO Otazú, LNCC
   Discussant:   Wilton Silva, UFPE
 

Regressão Quantílica e VaR: Uma Aplicação de Quantis Condicionais Extremos para os Retornos Relativos ao IBOVESPA e Petrobrás
   presented by: Wilton Silva, UFPE
   Discussant:   Fernanda Müller, Universidade Federal do Rio Grande do Sul
 

Numerical comparison of multivariate models to forecasting risk measures
   presented by: Fernanda Müller, Universidade Federal do Rio Grande do Sul
   Discussant:   JUAN BLADIMIRO Otazú, LNCC
 
Session 11: Investments V (English)
July 21, 2017 13:45 to 15:45
B-102
 
Session Chair: Luiz Moura, Fundação Getúlio Vargas
Session type: contributed
 

International Capital Flows and IFRS Adoption
   presented by: Verônica Santana, Universidade de São Paulo
   Discussant:   Yaohao Peng, University of Brasilia
 

A new look upon the Meese-Rogoff puzzle based on Support Vector Regression.
   presented by: Yaohao Peng, University of Brasilia
   Discussant:   Luiz Moura, Fundação Getúlio Vargas
 

Does transparency pay off? Evidence from stock market segment switches
   presented by: Luiz Moura, Fundação Getúlio Vargas
   Discussant:   Lucas Carvalho Ribeiro,
 

Adaptação do Modelo de Cinco-Fatores de Precificação de Ativos de Fama & French: Uma Análise para o Mercado de Ações Brasileiro
   presented by: Lucas Carvalho Ribeiro,
   Discussant:   Verônica Santana, Universidade de São Paulo
 
Session 12: Derivatives and Risk II (English)
July 21, 2017 13:45 to 15:45
B-108
 
Session Chair: Caio Almeida, Getulio Vargas Foundation
Session type: contributed
 

Modelo HJM Multifatorial com Processo de Difusão com Jumps Aplicado ao Mercado Brasileiro
   presented by: Laszlo Lueska, Fundação Getulio Vargas
   Discussant:   Danilo Lopomo Beteto Wegner, Australian Institute of Business
 

Market liquidity and financial fragility.
   presented by: Danilo Lopomo Beteto Wegner, Australian Institute of Business
   Discussant:   Paulo Rosa, UnB
 

The Agent Rationality inside the Doom Loop of Sovereign Debt: an Agent-Based Model Simulation of Systemic Risk Emergence Process
   presented by: Paulo Rosa, UnB
   Discussant:   Caio Almeida, Getulio Vargas Foundation
 

Tail risk exposures of hedge funds in Brazil
   presented by: Caio Almeida, Getulio Vargas Foundation
   Discussant:   Laszlo Lueska, Fundação Getulio Vargas
 
Session 13: Corporate Finance III
July 21, 2017 13:45 to 15:45
B-103
 
Session Chair: Joelson Sampaio, USP
Session type: contributed
 

AN ANALYSIS OF THE RELATIONSHIP BETWEEN MANAGEMENT COMPENSATION AND PERFORMANCE IN CRISIS
   presented by: Debora Rodrigues, Universidade Federal de Uberlândia
   Discussant:   Filipe Andrade, EAESP-FGV
 

A Natureza das Práticas de Governança Corporativa no Brasil
   presented by: Filipe Andrade, EAESP-FGV
   Discussant:   Jucyara da Silva, Universidade Federal de Pernambuco
 

EVIDÊNCIAS DA PESQUISA CIENTÍFICA EM FINANÇAS NO PERÍODO 2010 A 2015
   presented by: Jucyara da Silva, Universidade Federal de Pernambuco
   Discussant:   Joelson Sampaio, USP
 

Dotcom Bubble Underpricing
[slides]
   presented by: Joelson Sampaio, USP
   Discussant:   Debora Rodrigues, Universidade Federal de Uberlândia
 
Session 14: Investments VI
July 21, 2017 13:45 to 15:45
B-104
 
Session Chair: Rodrigo Leite, Rio de Janeiro State University
Session type: contributed
 

A importância da transparência do Banco Central na determinação das notas de crédito soberano: uma evidência empírica para as notas da agência S&P
   presented by: Diego Pacheco,
   Discussant:   Marcelo Guzella, FEA USP
 

Avaliação do grau de atenção dos investidores individuais como indutor de volatilidade adicional no mercado brasileiro de ações
   presented by: Marcelo Guzella, FEA USP
   Discussant:   Eduardo Brunaldi, FEA USP
 

Does the Nature of Large Projects Affect the Financing Decisions over the Investment Period?
   presented by: Eduardo Brunaldi, FEA USP
   Discussant:   Rodrigo Leite, Rio de Janeiro State University
 

Microfinance for Women: Are There Economical Reasons? Evidence from Latin America
   presented by: Rodrigo Leite, Rio de Janeiro State University
   Discussant:   Diego Pacheco,
 
Session 15: Econometrics and Numerical Methods III
July 21, 2017 13:45 to 15:45
B-105
 
Session Chair: Julio Silva Junior, Unochapecó
Session type: contributed
 

Probabilidade de Informação Privilegiada Estimada por Inferência Bayesiana
   presented by: Leonardo Bosque, University of Brasilia
   Discussant:   Diego Brandão, Getulio Vargas Foundation
 

Measuring Long Run Risks for Brazil
   presented by: Diego Brandão, Getulio Vargas Foundation
   Discussant:   Felipe Cavalcanti, Banco do Brasil
 

DETERMINANTES DO SPREAD BANCÁRIO NO BRASIL E OS IMPACTOS DO ACORDO DE BASILEIA III
   presented by: Felipe Cavalcanti, Banco do Brasil
   Discussant:   Julio Silva Junior, Unochapecó
 

Dependência entre commodities de alimentos e petróleo: uma avaliação por meio de cópulas não paramétricas
   presented by: Julio Silva Junior, Unochapecó
   Discussant:   Leonardo Bosque, University of Brasilia
 
Session 16: Econometrics and Numerical Methods IV (English)
July 22, 2017 8:30 to 10:30
B-102
 
Session type: contributed
 

Forecasting High Frequency Volatility: A study of the Bitcoin Market using Support Vector Regression
   presented by: Yaohao Peng, University of Brasilia
   Discussant:   Alberto Ronchi Neto, Catholic University of Brasilia
 

MEASURING THE NEUTRAL REAL INTEREST RATE IN BRAZIL: A JOIN ESTIMATION WITH POTENTIAL OUTPUT, NAIRU AND NAICU
   presented by: Alberto Ronchi Neto, Catholic University of Brasilia
   Discussant:   Nidhaleddine Ben Cheikh, ESSCA School of Management
 

A Panel Smooth Transition Model for the Exchange Rate Pass-Through: New Evidence from the New EU Member States
   presented by: Nidhaleddine Ben Cheikh, ESSCA School of Management
   Discussant:   Victor Duarte, MIT
 

Macro, Finance, and Macro Finance: Solving Non-linear Models in Continuous Time with Approximate Dynamic Programming
   presented by: Victor Duarte, MIT
   Discussant:   Yaohao Peng, University of Brasilia
 
Session 17: Derivatives and Risk III
July 22, 2017 8:30 to 10:30
B-103
 
Session Chair: Luiz Araújo, Brazilian Defence Ministry
Session type: contributed
 

High Frequency Tail Risk
   presented by: Caio Almeida, Getulio Vargas Foundation
   Discussant:   Filipe Stona, UFRGS
 

Indicadores Compostos da Instabilidade Financeira no Brasil
   presented by: Filipe Stona, UFRGS
   Discussant:   Cristina Yamanari, Ministry of Finance of Brazil
 

Determinants of sovereign ratings: estimating according to rating agencies' criteria
   presented by: Cristina Yamanari, Ministry of Finance of Brazil
   Discussant:   Luiz Araújo, Brazilian Defence Ministry
 

REPUTATIONAL RISK MEASUREMENT: BRAZILIAN BANKS
   presented by: Luiz Araújo, Brazilian Defence Ministry
   Discussant:   Caio Almeida, Getulio Vargas Foundation
 
Session 18: Investments VII (English)
July 22, 2017 8:30 to 10:30
B-108
 
Session Chair: Andre Silva, Universidade Nova de Lisboa
Session type: contributed
 

Optimal Asset Allocation: How Many Miles are we From the Promised Gains?
   presented by: Pedro Engel, Getulio Vargas Foundation
   Discussant:   Ruy Ribeiro, Pontifical Catholic University
 

Term Structure(s) of Equity Risk Premia
   presented by: Ruy Ribeiro, Pontifical Catholic University
   Discussant:   Hugo Ramirez, Universidad del Rosario
 

Hedge Funds Management with Liquidity Constraint
   presented by: Hugo Ramirez, Universidad del Rosario
   Discussant:   Andre Silva, Universidade Nova de Lisboa
 

Government Financing with Taxes or Inflation
   presented by: Andre Silva, Universidade Nova de Lisboa
   Discussant:   Pedro Engel, Getulio Vargas Foundation
 
Session 19: Econometrics and Numerical Methods V
July 22, 2017 8:30 to 10:30
B-104
 
Session Chair: Fernando Vinhado, Banco do Brasil S.A
Session type: contributed
 

Worst Case Copula-CVaR Performance based on Distance selection criterion
   presented by: Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul
   Discussant:   Jefferson Colombo, Fundação de Economia e Estatística (FEE)
 

Do Foreign Portfolio Capital Flows Affect Domestic Investment? Evidence from Brazil
   presented by: Jefferson Colombo, Fundação de Economia e Estatística (FEE)
   Discussant:   Fernando Vinhado, Banco do Brasil S.A
 

POLÍTICA MONETÁRIA, MACROPRUDENCIAL E BANCOS: ANÁLISE DA TRANSMISSÃO POR MEIO DE UM MODELO DSGE
   presented by: Fernando Vinhado, Banco do Brasil S.A
   Discussant:   Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul
 
Session 20: Derivatives and Risk IV
July 22, 2017 8:30 to 10:30
B-105
 
Session Chair: Estevão Junior, Laboratório Nacional de Computação Científica
Session type: contributed
 

VALUATION OF MULTI-ASSET BARRIER OPTIONS
   presented by: Estevão Junior, Laboratório Nacional de Computação Científica
   Discussant:   Layla Mendes, FGV
 

On the Propensity to Issue Contingent Convertible (CoCo) Bonds
   presented by: Layla Mendes, FGV
   Discussant:   Felipe de Oliveira, UFPB
 

VOLATILITY TRANSMISSION MODELLING USING MGARCH-BEKK, DCC, t-COPULAS: WHICH INFORMATION MATTERS TO MARKET RISK SPREADING IN BRAZIL?
   presented by: Felipe de Oliveira, UFPB
   Discussant:   Estevão Junior, Laboratório Nacional de Computação Científica
 

 

Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Almeida, CaioP12, D12, C12, P17, D17
2Andrade, FilipeP13, D13
3Araújo, LuizP17, D17, C17
4Araujo, GustavoP3, D3, C3, P8, D8
5Barroso, BrunoP3, D3
6Ben Cheikh, NidhaleddineP16, D16
7Bonomo, MarcoP4, D4, C4, P6, D6
8Bosque, LeonardoP15, D15
9Brandão, DiegoP9, D9, P15, D15
10Brunaldi, EduardoP14, D14
11Carrasco-Gutierrez, CarlosP2, D2, C2
12Carvalho Ribeiro, LucasP11, D11
13Cavalcanti, FelipeP15, D15
14Chague, FernandoP4, D4
15Chaim, PedroP2, D2
16Colombo, JeffersonP19, D19
17da Silva, JucyaraP13, D13
18de Oliveira, FelipeP20, D20
19Duarte, VictorP16, D16
20Engel, PedroP18, D18
21Faria, AdrianoP9, D9, C9
22Fonseca, JuliaP6, D6
23Forti, CristianoP1, D1
24Guzella, MarceloP14, D14
25Junior, EstevãoP20, D20, C20
26Leite, RodrigoP14, D14, C14
27Lopomo Beteto Wegner, DaniloP12, D12
28Lueska, LaszloP12, D12
29Maciel, LeandroP2, D2
30Mariani, LucasP8, D8
31Mazali, RogerioP6, D6, C6
32Müller, FernandaP10, D10, C10
33Mendes, LaylaP20, D20
34Moura, LuizP11, D11, C11
35Norden, LarsP6, D6
36Nunes, LuísP7, D7
37Oliveira, AndreP2, D2
38Ornelas, JoseP8, D8, C8
39Otazú, JUAN BLADIMIROP10, D10
40Pacheco, DiegoP14, D14
41Peng, YaohaoP7, D7, P11, D11, P16, D16
42Ramirez, HugoP18, D18
43Ribeiro, RuyP4, D4, P18, D18
44Rodrigues, DeboraP13, D13
45Ronchi Neto, AlbertoP16, D16
46Rosa, PauloP12, D12
47Sabino da Silva, FernandoP3, D3, P19, D19
48Sampaio, JoelsonP1, D1, P13, D13, C13
49Santana, VerônicaP11, D11
50Saturnino, ValériaP3, D3, P8, D8
51Silva, WiltonP10, D10
52Silva, AndreP18, D18, C18
53Silva, SabrinaP7, D7, C7
54Silva Junior, JulioP15, D15, C15
55Smaniotto, EmanuelleP9, D9
56Stona, FilipeP9, D9, P17, D17
57Terra, PauloP1, D1, C1
58Vinhado, FernandoP19, D19, C19
59Yamanari, CristinaP17, D17
60Zilberman, EduardoP4, D4

 

This program was last updated on 2017-07-15 21:52:47 EDT