Alan Genaro

Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration

Sao Paulo

BRAZIL

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 33,008

SSRN RANKINGS

Top 33,008

in Total Papers Downloads

2,892

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (11)

1.

Afinal, produtos estruturados são bons para quem? (After All, To Whom the Structured Products are Good?)

Number of pages: 24 Posted: 03 Apr 2021
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 726 (66,746)

Abstract:

Loading...

Structured products; retail investors; conflict of interest

2.

Price Transparency in OTC Equity Lending Markets: Evidence From a Loan Fee Benchmark

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 63 Posted: 27 Mar 2020 Last Revised: 11 May 2021
University of Sao Paulo (USP), Faculty of Economics, Administration and Accounting (FEA), Students, Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 428 (128,210)
Citation 7

Abstract:

Loading...

price transparency, OTC markets, benchmarks, equity lending, search costs

3.

Pricing Interest Rate Derivatives Under Monetary Policy Changes

Number of pages: 26 Posted: 15 Apr 2012 Last Revised: 28 Jul 2013
Alan Genaro and Marco Avellaneda
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 367 (152,528)
Citation 1

Abstract:

Loading...

Interest rate derivatives, Scheduled events, Monetary Policy

4.

Internalizando a internalização de ordens (The Introduction of 'Retail Liquidity Provider' Orders in Brazil: Impact on Market Quality)

Number of pages: 51 Posted: 19 Feb 2022
Alan Genaro and Pedro Saffi
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and University of Cambridge - Judge Business School
Downloads 362 (154,909)

Abstract:

Loading...

Retail Liquidity Provider, Brazil, microstructure, regulatory changes

5.

Intraday Returns Forecasting Using Machine Learning: Evidence from the Brazilian Stock Market

Number of pages: 54 Posted: 01 Sep 2023 Last Revised: 06 Sep 2023
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and University of Sao Paulo (USP), Faculty of Economics, Administration and Accounting (FEA), Students
Downloads 313 (180,983)

Abstract:

Loading...

Machine Learning Forecasting, LASSO, Ridge Regression, Emerging Markets, Outof- Sample Forecasting

6.

Does the Lending Rate Impact ETF's Prices?

Number of pages: 19 Posted: 23 Apr 2012
Alan Genaro and Marco Avellaneda
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 184 (302,958)

Abstract:

Loading...

Hard-to-borrow, Short-selling

7.

A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes

Chaos, Solitons & Fractals, Forthcoming
Number of pages: 44 Posted: 25 Apr 2014 Last Revised: 18 Feb 2016
Juan Arismendi-Zambrano and Alan Genaro
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 180 (309,050)
Citation 2

Abstract:

Loading...

Multi-asset option pricing, Multivariate Risk Management, Edgeworth Expansion, Higher-order Moments

8.

Market Impact: Evidence From the Brazil Stock Market

Number of pages: 32 Posted: 28 Mar 2020
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 177 (313,601)

Abstract:

Loading...

Market Impact, Liquidity Risk, Emerging Markets, False Discovery Rate

9.

Systematic Multi-Period Stress Scenarios with an Application to CCP Risk Management

Number of pages: 41 Posted: 31 Jul 2015 Last Revised: 03 Aug 2015
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 120 (429,330)

Abstract:

Loading...

Robust Optimization; Stress Scenarios, Discrete Optimization, Monte Carlo Simulation, CCP, Maximum block-entropy

10.

A Novel Credit Model Risk Measure: Does More Data Lead to Lower Model Risk in Credit Scoring Models?

Number of pages: 45 Posted: 02 Oct 2023
Government of the Federative Republic of Brazil - Central Bank of Brazil, Fundação Getulio Vargas/EAESP, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 35 (820,520)

Abstract:

Loading...

Model Risk, Credit Risk, Credit Scoring, big data, Machine Learning.

11.

Mitigating Procyclicality in CCPs with Stress Testing: A Hybrid Approach

Posted: 04 Mar 2013 Last Revised: 29 Jul 2015
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration

Abstract:

Loading...

Stress Testing, Plausible stress scenarios, Copula, EVT, CCPs

Other Papers (1)

Total Downloads: 260
1.

Well-Connected Short-Sellers Pay Lower Loan Fees: A Market-Wide Analysis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 75 Posted: 29 Jul 2015 Last Revised: 19 Sep 2019
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 260 (119,790)

Abstract:

Loading...

loan fees, search-costs, lending market, short-selling restrictions