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Marcelo Brutti Righi
Universidade Federal do Rio Grande do Sul
80Publications
7H-index
152Citations
Publications 80
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#1Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that this resulting composition, based on properties of the two components, is a coherent risk measure. Similar results for the cases of convex and co-monotone risk measures are exposed. We also provide examples of known and new risk measures constructed under this...
5 CitationsSource
#1Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
#2Fernanda Maria M "uller (UFRGS: Universidade Federal do Rio Grande do Sul)
Last.Marlon Ruoso Moresco (UFRGS: Universidade Federal do Rio Grande do Sul)
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We propose a robust risk measurement approach that minimizes the expectation of sum between costs from overestimation and underestimation. We consider uncertainty by taking the supremum over alternative probability measures. We provide results that guarantee the existence of a solution and explore the properties of minimizer and minimum as risk and deviation measures, respectively. We relate this robust approach with the dual representation of coherent risk measures. Moreover, we suggest the use...
#1Mohammed BerkhouchH-Index: 1
#2Ghizlane LakhnatiH-Index: 1
Last.Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
view all 3 authors...
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we propose a Deviation-based approach to quantify uncertainty. Furthermore, the theory is illustrated with a practical case study from NASDAQ index.
This paper introduces an approach designed for personal credit risk. We define a structural model related to the financial balance of an individual, allowing for cashflow seasonality and deterministic trends in the process. This formulation is best suited for short-term loans. Using this model, we develop risk measures associated with the probability of default conditional on time. We illustrate empirical applications by estimating an empirical model using simulated data and, on the basis of thi...
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#1Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
#2Fernanda Müller (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 4
Last.Kelmara Mendes Vieira (UFSM: Universidade Federal de Santa Maria)H-Index: 6
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Purpose – The objective of this research is to establish a link between risk models and the paradigms of organizational studies. Design/methodology/approach – To achieve this goal, a discussion about risk in organizations was presented, based on organizational studies. Additionally, an illustration was provided to evaluate how organizational paradigms influence risk models. Findings – There are three main organizational perspectives: Modernist, Postmodernist, and Neo-modernist. Based on the empi...
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#1Fernanda Müller (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 4
#2Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
Last.Anderson Luis Walker Amorin (UFRGS: Universidade Federal do Rio Grande do Sul)
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This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchical Archimedean copulas, and different families of copulas. Our results indicate that C-Vine copulas, as well Student t family, demonstrated better performance, according to the criteria used to get the depend...
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#1Vinicius Girardi da Silveira (UFSM: Universidade Federal de Santa Maria)H-Index: 1
#2Kelmara Mendes Vieira (UFSM: Universidade Federal de Santa Maria)H-Index: 6
Last.Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
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This study aimed to employ the Times Series Factor Analysis (TSFA) to measure liquidity in stock markets. Based on this model, was used daily data of stocks traded on BM&FBOVESPA of five liquidity proxies for exemplifying the factorial construction. How findings, the study allow us to observe the possibility of combining different liquidity proxies to create a single liquidity measure. The liquidity factor has demonstrated a strong association with the proxies used in their construction. In addi...
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#1Mohammed Berkhouch (ENSA: Entertainments National Service Association)H-Index: 1
#2Ghizlane Lakhnati (ENSA: Entertainments National Service Association)H-Index: 1
Last.Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
view all 3 authors...
The main of this paper is to introduce a family of risk measures which generalizes the Gini-type measures of risk and variability, by taking into consideration the psychological behavior. Our risk measures family is coherent and catches variability with respect to the decision-maker attitude towards risk.
1 CitationsSource
#1Alan Delgado de Oliveira (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 1
#2Tiago Pascoal Filomena (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 6
Last.Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
view all 3 authors...
Source
#1Mohammed Berkhouch (ENSA: Entertainments National Service Association)H-Index: 1
#2Ghizlane Lakhnati (ENSA: Entertainments National Service Association)H-Index: 1
Last.Marcelo Brutti Righi (UFRGS: Universidade Federal do Rio Grande do Sul)H-Index: 7
view all 3 authors...
The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk aversion into consideration. Our class of risk measures is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representation framework. We further provide a practical application.
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