Pablo Jose Campos de Carvalho

Banco Central do Brasil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia, Distr. Federal 70074-900

Brazil

SCHOLARLY PAPERS

5

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Rank 22,844

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Top 22,844

in Total Papers Downloads

2,121

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

A Performance Attribution Methodology for Fixed Income Portfolios

PORTFOLIO AND RISK MANAGEMENT FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS, Ken Nyholm, Joachim Coche, and Gabriel Petre, eds.
Number of pages: 16 Posted: 21 Dec 2009 Last Revised: 24 Mar 2011
Antonio F. A. Silva Jr., Pablo Jose Campos de Carvalho and Jose Renato Haas Ornelas
Federal University of Bahia - UFBA, Banco Central do Brasil and Banco Central do Brasil
Downloads 1,809 (8,836)

Abstract:

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Performance, Attributtion, Fixed Income, Central Bank

2.

Best Practices in Measuring and Managing Market Risks after 2008 Crisis

Number of pages: 12 Posted: 26 Dec 2009
Antonio F. A. Silva Jr., Pablo Jose Campos de Carvalho and Jose Renato Haas Ornelas
Federal University of Bahia - UFBA, Banco Central do Brasil and Banco Central do Brasil
Downloads 209 (149,132)

Abstract:

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Risk Management, Crisis, Historical Simulation, RiskMetrics, Misture of Normals, EVT

3.

Explanatory Co-Movement in Asset Prices with Minimal Dependence Structures

Number of pages: 47 Posted: 01 Feb 2015
Pablo Jose Campos de Carvalho and Aparna Gupta
Banco Central do Brasil and Rensselaer Polytechnic Institute (RPI)
Downloads 52 (390,531)
Citation 2

Abstract:

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asset price dynamics, non-stationarity, network structures, correlation dynamics

4.

The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks

Number of pages: 36 Posted: 11 Jan 2015
Jose Renato Haas Ornelas and Pablo Jose Campos de Carvalho
Banco Central do Brasil and Banco Central do Brasil
Downloads 36 (450,907)

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performance-based arbitrage, short-selling, Short covering, Leverage

5.

Multivariate Jump Diffusion Model with Markovian Contagion

Number of pages: 36 Posted: 28 Jul 2017
Pablo Jose Campos de Carvalho and Aparna Gupta
Banco Central do Brasil and Rensselaer Polytechnic Institute (RPI)
Downloads 15 (564,030)
Citation 1

Abstract:

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asset prices, jump diffusion, jump correlation, contagion dynamics, network analysis