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Alexandre M. Baptista

Personal Details

First Name:Alexandre
Middle Name:M.
Last Name:Baptista
Suffix:
RePEc Short-ID:pba123
http://home.gwu.edu/~alexbapt/
School of Business, Funger Hall, Suite 501, 2201 G Street, NW, Washington, DC 20052
(202) 994-3309
Terminal Degree:2001 Department of Economics; University of Minnesota (from RePEc Genealogy)

Affiliation

School of Business
George Washington University

Washington, District of Columbia (United States)
http://www.business.gwu.edu/

:


RePEc:edi:sbpgwus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers 09/2012, Deutsche Bundesbank.

Articles

  1. Gordon J. Alexander & Alexandre M. Baptista, 2017. "Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 603-634, June.
  2. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2017. "Portfolio selection with mental accounts and estimation risk," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 161-186.
  3. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013. "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 249-268.
  5. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  6. Baptista, Alexandre M., 2012. "Portfolio selection with mental accounts and background risk," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 968-980.
  7. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2637-2656, October.
  8. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
  9. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  10. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2009. "Reducing estimation risk in optimal portfolio selection when short sales are allowed," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 281-305.
  11. Alexander, Gordon J. & Baptista, Alexandre M., 2008. "Active portfolio management with benchmarking: Adding a value-at-risk constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 779-820, March.
  12. Baptista, Alexandre M., 2008. "Optimal delegated portfolio management with background risk," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 977-985, June.
  13. Alexandre Baptista, 2007. "On the Non-Existence of Redundant Options," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 205-212, May.
  14. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007. "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3761-3781, December.
  15. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1631-1660, October.
  16. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3171-3189, November.
  17. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587.
  18. Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
  19. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
  20. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.

More information

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Featured entries

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  1. Portuguese Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (1) 2012-05-22
  2. NEP-CBA: Central Banking (1) 2012-05-22
  3. NEP-RMG: Risk Management (1) 2012-05-22

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