Marcelo Brutti Righi

Federal University of Rio Grande do Sul

Washington Luiz

855

Porto Alegre, Rio Grande do Sul 90010460

Brazil

SCHOLARLY PAPERS

6

DOWNLOADS
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CITATIONS

0

Scholarly Papers (6)

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
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 231 (76,695)

Abstract:

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 Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 102 (152,818)

Abstract:

Risk Measures, Expected Shortfall, Risk Estimation, Backtesting

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
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 99 (214,639)

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
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 0

Abstract:

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

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
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Downloads 60 (248,286)

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
Bruno Milani, Fernanda, Paulo Sergio Ceretta and Marcelo Brutti Righi
Federal University of Santa Maria, Universidade Federal de Santa Maria, Universidade Federal de Santa Maria and Federal University of Rio Grande do Sul
Downloads 30 (333,017)

Abstract:

Emerging Markets, ICAPM, Copula-DCC-GARCH

6.

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, Federal University of Rio Grande do Sul and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 0 (291,463)

Abstract:

balance at risk, credit risk, personal finance