The Resource Stochastic volatilities and correlations, extreme values and modeling the macroeconomic environment, under which Brazilian banks operate, prepared by Theodore M. Barnhill and Marcos R. Souto

Stochastic volatilities and correlations, extreme values and modeling the macroeconomic environment, under which Brazilian banks operate, prepared by Theodore M. Barnhill and Marcos R. 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
prepared by Theodore M. Barnhill and Marcos R. Souto
Creator
Contributor
Author
Issuing body
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
Action
digitized
Cataloging source
OCLCE
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Barnhill, Theodore M
Government publication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 no.07/290 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Souto, Marcos Rietti
  • International Monetary Fund
Series statement
IMF Working Paper
Series volume
WP/07/290
http://library.link/vocab/subjectName
  • Stochastic models
  • Banks and banking
  • Modèles stochastiques
  • Banques
  • Banks and banking
  • Stochastic models
  • Brazil
Label
Stochastic volatilities and correlations, extreme values and modeling the macroeconomic environment, under which Brazilian banks operate, prepared by Theodore M. Barnhill and Marcos R. Souto
Instantiates
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 26-28)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
646833962
Dimensions
unknown
Extent
1 online resource (82 pages)
Form of item
online
Level of compression
  • lossless
  • lossy
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Reformatting quality
  • preservation
  • access
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
(OCoLC)646833962
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Label
Stochastic volatilities and correlations, extreme values and modeling the macroeconomic environment, under which Brazilian banks operate, prepared by Theodore M. Barnhill and Marcos R. Souto
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 26-28)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
646833962
Dimensions
unknown
Extent
1 online resource (82 pages)
Form of item
online
Level of compression
  • lossless
  • lossy
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Reformatting quality
  • preservation
  • access
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
(OCoLC)646833962
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

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