Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

http://rtargino.netlify.app/

SCHOLARLY PAPERS

9

DOWNLOADS

1,273

SSRN CITATIONS

12

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
University of California Santa Barbaraaffiliation not provided to SSRN, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 263 (170,562)
Citation 1

Abstract:

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Chain-Ladder Method, Claims Reserving Uncertainty, Claims Development Result, Mack's Formula, Merz-WüThrich's Formula, Conditional Mean Square Error of Prediction, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

2.

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Number of pages: 53 Posted: 03 May 2017
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
University of California Santa Barbaraaffiliation not provided to SSRN, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 255 (175,878)
Citation 2

Abstract:

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Capital Allocation, Premium and Reserve Risk, Solvency Capital Requirement (SCR), Sequential Monte Carlo (SMC), Swiss Solvency Test (SST)

3.

Risk Budgeting Portfolios from Simulations

Number of pages: 31 Posted: 17 Mar 2022 Last Revised: 08 Apr 2022
Universidade Federal do Rio de Janeiro (UFRJ), University of Toronto and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 198 (223,216)

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Portfolio Allocation, Risk Parity, Expected Shortfall, Stochastic Optimisation

4.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbaraaffiliation not provided to SSRN and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 185 (236,917)
Citation 2

Abstract:

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Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

5.

The Impact of the Freedom of the Press on Risk

Number of pages: 36 Posted: 14 Aug 2018 Last Revised: 12 Dec 2018
Diogo Duarte, Yuri Saporito and Rodrigo Targino
Florida International University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 122 (330,849)

Abstract:

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Freedom of the Press, Economic Policy Uncertainty, Volatility, Financial Markets, Bayesian Vector Autoregression (VAR)

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
University of California Santa Barbaraaffiliation not provided to SSRN, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 71 (470,608)

Abstract:

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7.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbaraaffiliation not provided to SSRN, Macquarie University - Department of Mathematics and Statistics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 90 (405,503)

Abstract:

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Multiple stopping rules, Operational risk, Insurance

8.

Uma análise do risco de fundos de ações brasileiros em 2020 (An Analysis of the Risk of Brazilian Equity Funds in 2020)

Number of pages: 11 Posted: 03 May 2021
David Evangelista, Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 54 (531,615)

Abstract:

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Risco de portfólio, Contribuição marginal, Value-at-Risk, GARCH, Cópula, EVT

9.

Avoiding Zero Probability Events When Computing Value at Risk Contributions: A Malliavin Calculus Approach

Number of pages: 14 Posted: 28 May 2020
Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 35 (629,023)

Abstract:

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Risk Management, Capital Allocation, Malliavin Calculus