Coverart for item
The Resource Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate, Marcos Souto

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate, Marcos Souto

Label
Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Title
Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Statement of responsibility
Marcos Souto
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably well the historical evolution of volatilities by changing a decay factor appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large Brazilian banks and show that this methodology has the potential to improve simulated transition probabilities as compared to the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Souto, Marcos
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
S688 2007 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Barnhill, Theodore M
  • Souto, Marcos
Series statement
IMF Working Paper
Series volume
WP/07/290
http://library.link/vocab/subjectName
  • Covariances
  • Fat-Tail Distributions
  • Monte Carlo Estimation
  • Multivariate Stochastic Volatility
  • Probabilities
  • Probability
  • Brazil
Label
Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate, Marcos Souto
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2007290
Dimensions
unknown
Extent
1 online resource (52 pages)
Form of item
online
Isbn
9781451868531
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451868531.001
Specific material designation
remote
System control number
(IMF)WPIEA2007290
Label
Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate, Marcos Souto
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2007290
Dimensions
unknown
Extent
1 online resource (52 pages)
Form of item
online
Isbn
9781451868531
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451868531.001
Specific material designation
remote
System control number
(IMF)WPIEA2007290

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