Marcelo Righi

Universidade Federal do Rio Grande do Sul (UFRGS)

Washington Luis, 855

Porto Alegre, Rio Grande do Sul 90010-460

Brazil

  • Universidade Federal do Rio Grande do Sul (UFRGS)

SCHOLARLY PAPERS

20

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37

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2

Scholarly Papers (20)

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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 560 (96,164)
Citation 5

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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 339 (172,483)
Citation 6

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Risk Measures, Expected Shortfall, Risk Estimation, Backtesting

3.

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 333 (175,833)

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balance at risk, credit risk, personal finance

4.

Risk Parity in the Brazilian Market

Economics Bulletin, Volume 37, Issue 3, pages 1555-1566
Number of pages: 13 Posted: 19 Jul 2017
Pierre de Souza, Tiago Filomena, João Caldeira, Denis Borenstein and Marcelo Righi
Getulio Vargas Foundation (FGV), Sao Paulo School of Business Administration, Students, Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina & CNPq, Federal University of Rio Grande do Sul (UFRGS/PPGA), Management School and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 265 (223,899)

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risk parity, brazilian market, covariance matrix

5.

Model Risk Measures: A Review and New Proposals on Risk Forecasting

Number of pages: 35 Posted: 05 Dec 2019 Last Revised: 17 Mar 2020
Fernanda Maria Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 185 (313,141)
Citation 6

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Model Risk, Risk Forecasting, Model Risk Measures, Robust Finance, Review

6.

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 171 (335,944)
Citation 4

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

7.

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Downloads 163 (350,086)
Citation 3

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Number of pages: 34 Posted: 27 Jun 2022
Henrique Ramos, Marcelo Righi, Pablo Guedes and Fernanda Maria Müller
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) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 140 (397,106)

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cardinality constraints, coherent risk measures, risk, linear portfolio optimization, EVaR

A Comparison of Risk Measures for Portfolio Optimization with Cardinality Constraints

Number of pages: 37 Posted: 25 Aug 2022
Henrique Ramos, Marcelo Righi, Pablo Cristini Guedes and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 23 (986,505)
Citation 5

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cardinality constraints, coherent risk measures, Risk, linear portfolio optimization, EVaR

8.

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 155 (365,127)

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Generalized Deviation Measure, Liquidity, Implied Volatility, Tail Risk

9.

Numerical Comparison of Multivariate Models to Forecasting Risk Measures

Number of pages: 32 Posted: 29 Apr 2017 Last Revised: 31 Mar 2018
Fernanda Maria Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 129 (422,433)
Citation 4

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

10.

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 119 (449,074)
Citation 2

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

11.

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 96 (523,447)

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

12.

Range Based Risk Measures and Their Applications

Number of pages: 37 Posted: 07 Mar 2022
Marcelo Righi and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 86 (561,028)
Citation 2

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Financial risk, Tail risk measures, Range based risk measures, Risk forecasting.

13.

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 Maria Müller, Paulo Sergio Ceretta and Marcelo Righi
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 81 (581,225)

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Emerging Markets, ICAPM, Copula-DCC-GARCH

14.

Spectral Risk Measures and Uncertainty

Number of pages: 17 Posted: 06 Jun 2019
Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi
ENSA, Ibn Zohr University, Ibn Zohr University and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 63 (665,497)

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

15.

Can Ai Beat a Naive Portfolio? An Experiment with Anonymized Data

Number of pages: 19 Posted: 12 Sep 2024
Marcelo Perlin, Cristian Foguesatto, Fernanda Maria Müller and Marcelo Righi
Universidade Federal do Rio Grande do Sul, affiliation not provided to SSRN, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 57 (697,684)

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LLM, regenerative AI, Artificial Intelligence, Gemini, Investments, ChatGPT, Large language models

16.

Extended Gini-Type Measures of Risk and Variability

Number of pages: 20 Posted: 27 Jul 2017 Last Revised: 28 Mar 2018
Mohammed Berkhouch, Ghizlane Lakhnati and Marcelo Righi
ENSA, Ibn Zohr University, Ibn Zohr University and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 50 (739,555)

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

17.

A Comparison of Range Value at Risk (RVaR) Forecasting Models

Number of pages: 36 Posted: 14 Dec 2023
Fernanda Maria Müller, Thalles Weber Gössling, Samuel Solgon Santos and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande, University of Waterloo and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 46 (765,465)

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Range Value at Risk (RVaR); Risk forecasting; Univariate model; Multivariate model

18.

Can AI beat a naive portfolio? An Experiment with Anonymized Data

Number of pages: 18
Marcelo Perlin, Cristian Rogério Foguesatto, Fernanda Maria Müller and Marcelo Righi
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) - Center for Studies and Research in Agribusiness, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 30

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LLM, regenerative AI, artificial intelligence, Gemini, Investments, ChatGPT, large language models JEL: G110, G170

19.

Risk Measures and Corporate Cash Holdings: A Convergence of Two Streams of Literature

Number of pages: 23 Posted: 06 Mar 2023
Marlon Moresco and Marcelo Righi
Concordia University and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 25 (936,178)

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Monetary risk measures, Acceptance sets, Cash holdings, Corporate liquidity

20.

A Note on the Induction of Comonotonic Additive Risk Measures from Acceptance Sets

Number of pages: 13 Posted: 08 Sep 2023
Samuel Solgon Santos, Marlon R. Moresco, Marcelo Righi and Eduardo Horta
University of Waterloo, Concordia University, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul
Downloads 15 (1,041,460)

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Acceptance sets, Comonotonicity, Risk measures, Deviation measures, Comonotonic additive risk measures.