Sara Ferreira Filipe

Luxembourg School of Finance

Post-Doctoral Researcher

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

http://www.lsf.lu/

SCHOLARLY PAPERS

4

DOWNLOADS

546

CITATIONS

0

Scholarly Papers (4)

1.

Currency Carry Trades and Funding Risk

EFA 2013 Cambridge Meetings, AFA 2014 Philadelphia Meetings
Number of pages: 58 Posted: 28 Oct 2012 Last Revised: 13 Jun 2014
Sara Ferreira Filipe and Matti Suominen
Luxembourg School of Finance and Aalto University School of Business
Downloads 293 (62,128)

Abstract:

Loading...

carry trade, funding risk, currency crashes, exchange rates

What Drives Exchange Rates? Reassessing Currency Return Predictability

Number of pages: 45 Posted: 16 Sep 2014 Last Revised: 07 Jan 2018
Sara Ferreira Filipe and Paulo F. Maio
Luxembourg School of Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 140 (181,890)

Abstract:

Loading...

exchange rates, currency return predictability, interest rate differentials, variance decomposition, present-value relation, carry trade, uncovered interest rate parity

What Drives Exchange Rates? Reassessing Currency Return Predictability

Number of pages: 42 Posted: 17 Feb 2015
Sara Ferreira Filipe and Paulo F. Maio
Luxembourg School of Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 2 (586,543)

Abstract:

Loading...

exchange rates, currency return predictability, interest rate differentials, variance decomposition, present-value relation, carry trade, uncovered interest rate parity

3.

Forecasting Distress in European SME Portfolios

Journal of Banking and Finance, Vol. 64, No. 1, 2016
Posted: 18 May 2013 Last Revised: 12 Jan 2016
Sara Ferreira Filipe, Theoharry Grammatikos and Dimitra Michala
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance

Abstract:

Loading...

credit risk; distress; forecasting; SMEs; logit

4.

Pricing Default Risk: The Good, The Bad, and The Anomaly

Journal of Financial Stability, Vol. 26, No. 1, 2016
Posted: 03 Feb 2014 Last Revised: 16 Oct 2016
Sara Ferreira Filipe, Theoharry Grammatikos and Dimitra Michala
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance

Abstract:

Loading...

default risk; Merton model; default anomaly; idiosyncratic risk