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Aqui estão sugestões de artigos e bibliografia na área
de finanças e de risco, sugeridas pelos professores do
Ibmec e pelo staff do RiskTech.com.
Se você procura artigos
técnicos mais aplicados, clique
aqui.
Artigos aplicados ao Brasil, com o documento eletrônico
disponível estão na seção artigos
científicos.
Para links a sites de busca de artigos científicos
veja na seção
repositórios.
Para outros recursos sobre risco na Internet, tente
a seção links.
 Artigos
Publicados |
| Almeida, C.I.R.; Duarte Jr., A.M. & Fernandes, C.A.C.
(1998) “Decomposing and Simulating de Movements of Term Structures of Interest Rates in Emerging Eurobond Markets”,
Journal of Fixed Income, vol. 8, p. 21-31 |
| Altman, E.I.; Caouette, J.B. & Narayan,P.
(1998) “Credit-Risk Measurement and Management: The Ironic Challenge in the Next Decade”,
Financial Analysts Journal, vol. January/February , p. 7-11 |
| Altman, E.I.; Haldeman, R. & Narayanan, P.
(1997) “Zeta Analysis: A New Model to Identify Bankruptcy Risk of Corporations”,
Journal of Banking & Finance, vol. 21, p. 29-54 |
| Altman, E.I.; Marco, G. & Varetto, F.
(1994) “Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks”,
Journal of Banking & Finance, vol. 18, p. 505-529 |
| Baillie, R. T. ; Chung, C-F. & Tieslau, M. A.
(1996) “Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model”,
Journal of Applied Econometrics, vol. 11, p. 23-40 |
| Black F. & Scholes, M.
(1973) “ The pricing of options and corporate liabilities”,
Journal of Political Economy, vol. 81, p. 637-59 |
| Black, F
(1976) "The Pricing of Commodity Contracts",
Journal of Financial Economics, vol. 2, p. 167-179 |
| Bollerslev, T.
(1990) "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach",
Review of Economics and Statistics , vol. 72, p. 498-505 |
| Bollerslev,T.; Engle,R. & Wooldridge,J.
(1988) "A Capital Asset Pricing Model with Time Varying Covariances",
Journal of Political Economy , vol. 96, p.116-131 |
| Brock, W.; Lakonishok, J. & LeBaron, B.
(1992) "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns",
Journal of Finance, vol. 47, p. 1731-1764 |
| Brockwell, P. J. & Liu, J.
(1988) “The General Bilinear Time Series Model”,
Journal of Applied Probability, vol. 25, p. 553-564 |
| Cheung, Y-W.
(1993b) “Tests for Fractional Integration: A Monte Carlo Investigation”,
Journal of Time Series Analysis , vol. 14, n. 4, p. 331-45 |
| Cheung, Y-W.
(1993a) “Long Memory in Foreign Exchange Rates”,
Journal of Business and Economic Statistics, vol. 11, p. 93-101 |
| Christoffersen, P. F.
(1996) "Evaluating Interval Forecasts.",
International Economic Review, vol. , |
| Cooke, P.
(1995) “Developments in the Regulatory Framework”,
Financial Derivatives and Risk Management, vol. 1, p. 73-79 |
| Corcoran, A.M.
(1994) “Developing a Risk Management Plan: A Systems Checklist for Derivatives”,
Derivatives Quarterly, vol. 1, p. 10-15 |
| Crnkovic, C. & Drachman,J.
(1996) "Quality Control",
Risk , vol. 9, p. 139-143 |
| Danielsson, J.
(1994) "Stochastic volatility in asset prices: estimation with simulated maximum likelihood",
Journal of Econometrics, vol. 61, p. 375-400 |
| Diebold, F.X. & Rudebusch, G.S.
(1989) “Long memory and Persistence in Aggregate Output ”,
Journal of Monetary Economics, vol. 24, p. 189-209 |
| Duarte Jr, A.M.
(1997) “Simulação Monte Carlo para Análise de Opções”,
Resenha BM&F, vol. 115, p. 52-64 |
| Duarte Jr, A.M.
(1997) “Indexing Stock Portfolios in Brazil: Tracking the IBOVESPA and the FGV-100”,
Emerging Markets Quarterly, vol. 1, p. 20-26 |
| Duarte Jr, A.M.
(1997) “Model Risk and Risk Management”,
Derivatives Quarterly, vol. 3, p. 60-72 |
| Duarte Jr, A.M.
(1996) “Risco: Definições, Tipos, Medição e Recomendações para seu Gerenciamento”, ,
Resenha BM&F, vol. 114, p. 25-33 |
| Duarte Jr, A.M. & Mendes, B.V.M.
(1997) “Robust Estimation of Systematic Risk in Emerging Stock Markets”,
Emerging Markets Quarterly, vol. 1, p. 85-95 |
| Duarte Jr., A.M & Werlang, S.
(1996) “A Model to Estimate the US Term Structure of Interest Rates”,
Revista de Econometria, vol. 16, p. 65-81 |
| Duarte Jr., A.M. & Cruz, M.G.
(1995) “Detecting Arbitrage Opportunities Using Optimization Models”, ,
Revista Brasileira de Mercado de Capitais, vol. 20, p. 73-79 |
| Duarte Jr., A.M. & Maia, M.L.A.
(1997) “Optimal Portfolios with Derivatives”,
Derivatives Quarterly,, vol. 4, p.53-62 |
| Engle, R.
(1982) "Autoregressive conditional heteroskedasticity with estimates of the variance of United Kindom inflation",
Econometrica, vol. 50, n 4, p.987-1007 |
| Engle, R.; Lilien, D. & Robins, R.
(1987) "Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M model",
Econometrica, vol. 55, p. 251-276 |
| Engle, R.; Ng, V. & Rothschild, M.
(1990) "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills",
Journal of Econometrics, vol. 45, p. 213-238 |
| Engle,R. & Bollerslev, T.
(1986) "Modelling the persistence of conditional variances",
Econometric Review, vol. 5, n 1, p.1-50 |
| Fama, E. F.
(1963) "Mandelbrot and the Stable Paretian Distribution",
Journal of Business, vol. 36, 420-429 |
| Fama, E.F.
(1965) "The behavior of stock market prices",
Journal of Business, vol. 38, p. 593-624 |
| Figlewski, S.
(1984) “Hedging Performance and Basis Risk in Stock Index Futures”,
Journal of Finance, vol. 39, p. 657-669 |
| Fitt,V.
(1997) “The Culture of Credit” ,
Risk-Credit Risk Supplement, vol. July, |
| Franses, P. H. & van Dijk, D.
(1996) “Forecasting Stock Market Volatility Using (Non-Linear) GARCH Models”,
Journal of Forecasting, vol. 15, p. 229-235 |
| Galai, D
(1983) “The Components of the Return from Hedging Options Against Stocks” ,
Journal of Business, vol. 56, p. 44-54 |
| Geweke, J. & Porter-Hudak, S.
(1983) “The Estimation and Application of Long Memory Time Series Models”,
Journal of Time Series Analysis, vol. 4, p. 221-38 |
| Granger, C. W. J.
(1980) “Long Memory Relationships and the Aggregation of Dynamic Models”,
Journal of Econometrics, vol. 14, p. 227-238 |
| Guldimann, T.
(1996) "Beyond the Year 2000",
Risk, vol. 9, june, p. 17-19 |
| Hansen, L.
(1982) "Large sample properties of generalized method of moments estimators",
Econometrica, vol. 50, p. 1029-1054 |
| Harvey, A.C. & Shephard, N.
(1996) "The estimation of an assimetric stochastic volatility model for asset returns",
Journal of Business and Economic Statistics , vol. , |
| Harvey, A.C.; Ruiz, E. & Shephard, N.
(1994) “Modelling Stochastic variance models”,
Review of Economic Studies, vol. 61, p. 247-267 |
| Hill, B. M.
(1975) "A Simple General Approach to Inference about the Tail of a Distribution",
Annals of Statistics, vol. 35, p. 1163-1173 |
| Hsieh, D.
(1989) “Testing for Nonlinear Dependence in Daily Foreign Exchange Rates”,
Journal of Business, vol. 62, p.339-368 |
| Jackson, P.; Maude, D.J. & Perraudin, W.
(1997) "Bank Capital and Value-at-Risk",
Journal of Derivatives , vol. 4, Spring, p. 73-90 |
| Jacquier, E.; Polson, N. G. & Rossi , P. E.
(1994) "Bayesian analysis of stochastic volatility models",
Journal of Economics and Business Statistics , vol. , |
| Johnson, L.
(1960) “The Theory of Hedging and Speculation in Commodity Futures”,
Review of Economic Studies, vol. 27, p. 139-151 |
| Kupiec, P.
(1995) "Techniques for Verifying the Accuracy of Risk Management Models",
Journal of Derivatives , vol. 3, p. 73-84 |
| Lamoureaux C. & Lastrepes, W.
(1990) “Persistence in Variance, Strucural Change and the GARCH Model”,
Journal of Business and Economic Statistics, vol. 8, p.225-234 |
| Le Baron, B.
(1992) “Some Relations between Volatility and Serial Correlations in Stock Market Returns”,
Journal of Business, vol. 65, n. 2, p. 199-219 |
| Mandelbrot, B.
(1963) "The Variation of Certain Speculatives Prices",
Journal of Business , vol. 36, p. 394-419 |
| McDermott, R.
(1997) “The Long Awaited Arrival of Credit Derivatives”,
Derivatives Strategy , vol. January , p. 19-25 |
| Merton, R.C.
(1995) “Financial Innovation and the Management and Regulation of Financial Institutions”,
Journal of Banking and Finance , vol. 19, p. 461-481 |
| Neftçi, S. N.
(1991) “Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory : a Study of “Technical Analysis”,
Journal of Business, vol. 64, n. 4, |
| Nelson, D.
(1990) "Stacionarity and Persistence in the GARCH(1,1) Model",
Econometric Theory , vol. 6, p. 318-334 |
| Nelson, D.
(1991) "Conditional heteroskedasticity in assets returns: a new approach",
Econometrica, vol. 59, n.2, p.347-370 |
| Parsley, M.
(1996) “The Launch of a New Market: Credit Derivatives”,
Euromoney , vol. March, p. 28-33 |
| Ruiz, E.
(1994) "Quasi-Maximum Likelihood Estimation of Stochastic Volatility Models",
Journal of Econometrics , vol. 63, p. 289-306 |
| Taylor, S.J.
(1994) "Modelling Stochastic Volatilty,
Mathematical Finance, vol. 4, n 2, p. 183-204 |
| Vasicek, O.
(1977) "An Equilibrium Characterization of the Term Structure",
Journal of Financial Economics, vol. 5, p. 177-188 |
| Wuffli, P. & Hunt, D.
(1993) “Fixing the Credit Problem”,
McKinsey Quarterly, vol. April , p. 2 |
| Working
Papers |
| Andersen, T. e B. Sorensen
(1994) "GMM Estimation of a Stochastic Volatility Model: a Monte Carlo Study",
Working Paper: Northwestern University |
| Breidt, F. J. & Carriquiry, A. L.
(1995) "Improved Quasi-Maximum Likelihood Estimation for Stochastic Volatility Models.",
Working Paper: Department of Statistics, University of Iowa |
| Butler, J. S. & Schachter , B.
(1996) "Improving Value-at-Risk Estimates by Combining Kernel Estimation with Historical Simulation",
Working Paper: Vanderbilt University |
| Credit Suisse Financial Products
(1997) “CreditRisk",
Technical Report - Credit Suisse Financial Products |
| Danielsson, J. & Vries, C. G.
(1997) "Beyond the Sample: Extreme Quantile and Probability Estimation",
Working Paper: Tinbergen Institute Rotterdam |
| Danielsson, J. & Vries, C. G.
(1997) "Value-at-Risk and Extreme Returns. ",
Working Paper: Tinbergen Institute Rotterdam |
| Diebold, F.; Hickman, A.; Inoue, A. & Shchuermann, T.
(1998) "Converting 1-Day Volatility to h-Day Volatility: Scalinng by is Worse than You Think",
Working Paper: Department of Statistics, University of Pennsylvania. |
| Harvey, A. C.
(1993) “Long Memory in Stochastic Volatility”,
Discussion Paper: London School of Economics. |
| J.McQuown
(1994) “All That Counts is Diversification”,
Technical Report - KMV Corporation. |
| J.P.Morgan & Company
(1997) “Credit Metrics”,
Technical Report: J.P.Morgan & Company |
| Lopez, J. A.
(1996) "Regulatory Evaluation of Value-at-Risk Models",
Research and Market Analisys Group, Federal Reserve Bank of New York |
| Mahoney, J.M.
(1996) "Forecast Biases in Value-at-Risk Estimations: Evidence from Foreign Exchange and Global Equity Portfolios",
Working Paper: Federal Reserve Bank of New York. |
| McKinsey & Co.
(1997) “Credit View”,
Technical Report - McKinsey & Co. |
| Shephard, N.
(1995) "Statistical Aspects of ARCH and Stochastic Volatility",
Discussion Paper: Nuffield College, Oxford University |
| Wilson, T.C.
(1997) “Measuring Credit Portfolio Risk: Incorporating Macro-economic Migration Analysis”,
Technical Report: McKinsey & Co. |
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