Marcelo Brutti Righi

Universidade Federal do Rio Grande do Sul (UFRGS)

Washington Luis, 855

Porto Alegre, Rio Grande do Sul 90010-460

Brazil

SCHOLARLY PAPERS

10

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924

CITATIONS

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Scholarly Papers (10)

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 Brutti Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 231 (75,632)

Abstract:

Expected Shortfall, Shortfall Deviation, Backtest, Monte Carlo Simulations

Shortfall Deviation Risk: An Alternative for Risk Measurement

Number of pages: 29 Posted: 19 Dec 2014 Last Revised: 11 May 2016
Marcelo Brutti Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 105 (218,137)

Abstract:

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 Brutti Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
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Abstract:

shortfall deviation risk, risk management, risk measures, coherent risk measures, generalized deviation measures

3.

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 Brutti Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 102 (152,506)

Abstract:

Risk Measures, Expected Shortfall, Risk Estimation, Backtesting

4.

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 Brutti Righi and Paulo Sergio Ceretta
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Maria
Downloads 60 (253,216)

Abstract:

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

5.

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, Federal University of Rio Grande do Sul, Universidade Federal de Santa Maria and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 30 (342,833)

Abstract:

Emerging Markets, ICAPM, Copula-DCC-GARCH

6.

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 0 (362,363)

Abstract:

risk parity, brazilian market, covariance matrix

7.

A Risk Measure That Optimally Balances Capital Determination Errors

Number of pages: 23 Posted: 19 Jul 2017 Last Revised: 31 Jul 2017
Marcelo Brutti Righi
Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 0 (469,856)

Abstract:

Risk measures, value at risk, capital determination, sub-linear expectation, robustness.

8.

Mispricing in the Odd Lots Market in Brazil

Number of pages: 22 Posted: 22 Jun 2017
Henrique P. Ramos, Marcelo Perlin and Marcelo Brutti Righi
Federal University of Rio Grande do Sul (UFRGS/PPGA), Escola de Administração - UFRGS and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 0 (423,313)

Abstract:

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

9.

Numerical Comparison of Multivariate Models to Forecasting Risk Measures

Number of pages: 31 Posted: 29 Apr 2017
Fernanda Maria Müller and Marcelo Brutti Righi
Federal University of Rio Grande do Sul and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 0 (372,977)

Abstract:

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

10.

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 Brutti Righi and Tiago P. Filomena
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 0 (259,027)

Abstract:

balance at risk, credit risk, personal finance