Marcelo Righi

Universidade Federal do Rio Grande do Sul (UFRGS)

Washington Luis, 855

Porto Alegre, Rio Grande do Sul 90010-460

Brazil

SCHOLARLY PAPERS

12

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CITATIONS
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10

Scholarly Papers (12)

1.

Individual and Flexible Expected Shortfall Backtesting

Journal of Risk Model Validation, 7 (3), 3-20, 2013.
Number of pages: 12 Posted: 04 Oct 2012 Last Revised: 02 May 2014
Marcelo Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 398 (72,815)

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Expected Shortfall, Shortfall Deviation, Backtest, Monte Carlo Simulations

2.

A Comparison of Expected Shortfall Estimation Models

Journal of Economics and Business, Vol. 78, 2015
Number of pages: 41 Posted: 06 Jun 2013 Last Revised: 02 Dec 2014
Marcelo Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 187 (160,673)
Citation 2

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Risk Measures, Expected Shortfall, Risk Estimation, Backtesting

A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk

Number of pages: 18 Posted: 26 Mar 2016 Last Revised: 05 Apr 2016
Marcelo Perlin, Marcelo Righi and Tiago Filomena
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 128 (221,641)

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balance at risk, credit risk, personal finance

A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk

Journal of Credit Risk, Vol. 15, No. 2, 2019
Number of pages: 20 Posted: 18 Jun 2019
Marcelo Perlin, Marcelo Righi and Tiago Filomena
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 1 (681,444)
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credit risk, balance at risk (BaR), personal finance, cashflow

4.

Risk Parity in the Brazilian Market

Economics Bulletin, Volume 37, Issue 3, pages 1555-1566
Number of pages: 13 Posted: 19 Jul 2017
Getulio Vargas Foundation (FGV), Sao Paulo School of Business Administration, Students , Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande do Sul (UFRGS/PPGA), Management School and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 120 (231,862)

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risk parity, brazilian market, covariance matrix

Shortfall Deviation Risk: An Alternative for Risk Measurement

Number of pages: 29 Posted: 19 Dec 2014 Last Revised: 11 May 2016
Marcelo Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 119 (234,350)
Citation 1

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Shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures.

Shortfall Deviation Risk: An Alternative for Risk Measurement

Journal of Risk, Vol. 19, No. 2, 2016
Number of pages: 36 Posted: 23 Nov 2016
Marcelo Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
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shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures

6.

Forecasting Value at Risk and Expected Shortfall Based on Serial Pair-Copula Constructions

Expert Systems with Applications, 42 : 6380–6390.
Number of pages: 21 Posted: 28 Apr 2013 Last Revised: 16 May 2015
Marcelo Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 86 (290,576)
Citation 1

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Risk management; Risk measures; Serial dependence; Pair-copula construction

7.

Proper Liquidity Measures

Number of pages: 37 Posted: 12 May 2018 Last Revised: 20 Aug 2018
Henrique Ramos and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 83 (296,945)

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Generalized Deviation Measure, Liquidity, Implied Volatility, Tail Risk

8.

Numerical Comparison of Multivariate Models to Forecasting Risk Measures

Number of pages: 32 Posted: 29 Apr 2017 Last Revised: 31 Mar 2018
Fernanda Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 72 (322,561)

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Risk measures, DCC-GARCH, copulas, model risk, Monte Carlo simulation.

9.

Emerging Market Return Pricing: An Intertemporal and Interquantile Approach

Engineering Economics, v. 25, i. 4, pp. 387-394, 2014.
Number of pages: 14 Posted: 03 Dec 2012 Last Revised: 23 Jan 2015
Federal University of Santa Maria, Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Maria and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 52 (379,792)

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Emerging Markets, ICAPM, Copula-DCC-GARCH

10.

Mispricing in the Odd Lots Market in Brazil

Number of pages: 22 Posted: 22 Jun 2017
Henrique Ramos, Marcelo Perlin and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS), Escola de Administração - UFRGS and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 44 (407,306)

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Odd lots, market microstructure, liquidity B M &F Bovespa

11.

Extended Gini-Type Measures of Risk and Variability

Number of pages: 20 Posted: 27 Jul 2017 Last Revised: 28 Mar 2018
ENSA, Ibn Zohr University, Ibn Zohr University and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 18 (531,022)

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Risk Measure, Variability Measure, Risk Aversion, Signed Choquet Integral, Extended Gini Shortfall

12.

Spectral Risk Measures and Uncertainty

Number of pages: 17 Posted: 06 Jun 2019
ENSA, Ibn Zohr University, Ibn Zohr University and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 7 (598,403)

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spectral risk measures, uncertainty, scenarios, robust risk measures, deviation measures, uncertainty measures