Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
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References listed on IDEAS
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KeywordsCredit risk; Brazil; Banks; Emerging markets; Forecasting; Interest rates; stochastic volatility; fat-tail distributions; Monte Carlo estimation; covariances; time series; probability; probabilities; multivariate stochastic volatility;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-26 (All new papers)
- NEP-BAN-2008-01-26 (Banking)
- NEP-ECM-2008-01-26 (Econometrics)
- NEP-RMG-2008-01-26 (Risk Management)
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