Marcelo Yoshio Takami

Government of the Federative Republic of Brazil - Central Bank of Brazil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia, Distr. Federal 70074-900

Brazil

SCHOLARLY PAPERS

2

DOWNLOADS

365

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Counterparty Risk Management with Market-Based Indicators: Lessons from the Crisis

Number of pages: 27 Posted: 18 Dec 2009 Last Revised: 22 Feb 2010
Marcelo Yoshio Takami
Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 217 (141,731)

Abstract:

Loading...

credit crisis, risk management, credit risk, counterparty risk, prediction, rating

2.

Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

Brazilian Finance Review, Vol. 9, No. 1, pp. 9-26, 2011
Number of pages: 14 Posted: 01 May 2009 Last Revised: 20 Jun 2011
Jose Renato Haas Ornelas and Marcelo Yoshio Takami
Banco Central do Brasil and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 148 (199,259)

Abstract:

Loading...

Risk-Neutral Density, Interest Rate Options, Generalized Beta, Mixture of Log-Normals