Yuri Saporito

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

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

SCHOLARLY PAPERS

5

DOWNLOADS

332

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Vanishing Contagion Spreads

Number of pages: 57 Posted: 15 Dec 2017 Last Revised: 29 Dec 2020
Florida International University (FIU) - Department of Finance, INSEAD, Questrom School of Business, Boston University and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 124 (277,023)

Abstract:

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Credit Risk, Credit Spreads, Contagion, Exchange Economy, Equilibrium, Idiosyncratic shocks, Risk Premia Representation

2.

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 (FIU) - Department of Finance, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 99 (323,806)

Abstract:

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

3.

Endogenous Asymmetric Money Illusion

Number of pages: 67 Posted: 27 Apr 2018 Last Revised: 17 Oct 2019
Diogo Duarte and Yuri Saporito
Florida International University (FIU) - Department of Finance and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 62 (424,074)

Abstract:

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Money Illusion, Modigliani-Cohn Hypothesis, Money Superneutrality, Asset Pricing

4.

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 25 (593,739)

Abstract:

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

5.

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 22 (613,817)

Abstract:

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Risk Management, Capital Allocation, Malliavin Calculus