Research

My main area of interest is Finance, especially Behavior Finance, Risk Management, Derivative Pricing and Performance Evaluation. During the Master studies, my research was focused in derivative pricing, more specifically on the IDI option from the Brazilian Deriative Exchange (BM&F). During the PhD studies, my research was focused on Behavior Finance, altough some research in risk management was also undertaken. Since I work for the Risk Management area for monetary policy in the Central Bank of Brazil, I have interest and papers published in this area also. Currently, my research is in the area of performance evaluation and attribution, risk management and Risk Neutral Densities.

For my Author page in SSRN, click here.

 

Working Papers

 

• "Combining equilibrium, resampling and analysts' views in portfolio optimization", with Jose Luiz Barros Fernandes and Osacar Augusto Martinez Cusicanqui.

 

• "Estimating Relative Risk Aversion, Risk-Neutral and Real-World densities using Brazilian Real Options", with Aquiles Rocha Farias and Jose Santiago Fajardo Barbachan.

Published Papers

 

• Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds, with Antonio Francisco Silva Jr and José Luiz Fernandez, forthcoming International Journal of Finance and Economics.

• Recovering Risk-Neutral Densities from Brazilian Interest Rate Options', written with Marcelo Takami, Brazilian Finance Review V. 9 (1), pp. 9-26, 2011.

• Accounting for Skewness in Performance Evaluation of Brazilian Mutual Fund written together with Aquiles Farias and Antonio Francisco Silva Junior. Banking and Finance Review v. 1, p. 119-132, 2009.

• Professional portfolio managers: a setting for momentum strategies, written together with José Luiz Fernandez, Benjamin Tabak e Ignacio Pena. Revista Economía Financiera, v. 17, p. 54-68, 2009.

• Minimising Operational Risk in Portfolio Allocation Decisions written together with José Luiz Fernandez, Journal of Risk Management in Financial Institutions, v. 2, p. 438-450, 2009.

• Goodness-of-Fit Test Focuses on Conditional Value at Risk written together with Aquiles Farias e José Fajardo. Brazilian Finance Review v. 6, p. 139-155, 2008

• Momentum and Reversal Puzzle in Emerging Markets, written together with José Luiz Fernandez.. The ICFAI Journal of Behavioral Finance, v. 5, p. 54-71, 2008.

• Integrating Market and Credit Risk in Stochastic Portfolio Optimization, written together with José Luiz Fernandez and Marcelo Takami. The ICFAI Journal of Financial Risk Management, v. 5, p. 7-28, 2008.

• Goodness-of-fit Tests focus on VaR Estimation, with José S. Fajardo and Aquiles Aquiles R. Farias, Brazilian Review of Econometrics, Vol. 26, Number 2, 2006.

• Analyzing The Use of Generalized Hyperbolic Distributions to Value at Risk Calculations, with José S. Fajardo and Aquiles R. Farias, Brazilian Journal of Applied Economics, Vol. 9, Number 1, 2005.

• Apreçamento de Opções de IDI Usando Distribuições Hiperbólicas Generalizadas (in Portuguese), with J. S. Fajardo, Brazilian Journal of Applied Economics, Vol. 7, Number 4, 2003.

• Apreçamento de Opções de IDI Usando o Modelo CIR (in Portuguese), with J. S. Fajardo, Estudos Econômicos, Vol. 33 – Number 2, 2003.

Books and Book Chapters

 

• Performance Attribution Methodology for Fixed Income Portfolios written together with Antonio Francisco Silva Jr and Pablo de Carvalho. Published as a chapter of the book 'Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds' organized by Joachim Coche, Gabriel Petre and Ken Nyholm. Palgrave Macmillan, 2011.

 

• Behavior of Equity Foreign Investors on Emerging Markets, LAP Academic Publishing, Germany, 2011. Click here for a list of bookstores selling the book.

 

• Hidden Risks in Mean Variance Optimization,written together with José Luiz Fernandez. Published as a chapter of the book 'Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds', organized by Arjan B. Berkelaar, Joachim Coche and Ken Nyholm Palgrave Macmillan, 2010. Click here to buy the book.

Seminars, Conferences and Courses

 

• Joint ECB-BIS-World Bank Public Investors Conference 2009, Washington DC, USA.

• Third Americas BIS-BCB Risk Workshop for Reserve Managers, 2009, Brasilia, Brazil.

• Course "Advanced Topics in Empirical Finance", Gerzensee Study Center, 2009, Gerzensee, Switzerland.

• VIII Meeting of the Brazilian Finance Society, 2008, Rio de Janeiro, Brazil.

• Second Americas BIS-BCB Risk Workshop for Reserve Managers, 2007, Brasilia, Brazil.

• VII Meeting of the Brazilian Finance Society, 2007, São Paulo, Brazil.

• IV Annual Conference of the European Economics and Finance Society, 2005, Coimbra, Portugal .

• Stochastic Finance Conference 2004, Lisbon, Portugal.

• Autumn School of the Stochastic Finance 2004, Coimbra, Portugal .

• Fourth Meeting of the Brazilian Finance Society, 2004, Rio de Janeiro, Brazil.

• Spring School of Finance 2004, Bologna , Italy.

• XXVI Anpad Meeting, 2002, Salvador, Brasil.

• Course “Interest Rates Swaps”, Royal Bank of Canada , 1 week, 2001, Toronto, Canada .

• “Global Central Bankers Seminar” organized by ABN Amro, 1 week, 2001, Amsterdan, Holland.

• Course “Conversation and American Culture ”, University of California - Riverside, 4 weeks, 1995, Riverside, USA .