Caio Almeida

Associate Professor of Finance, EPGE/FGV

Email: ["c" + last name]@fgv.br
 

Resume

pdf

Refereeing

Econometrica , Review of Economic Studies (4), Journal of Finance , Review of Financial Studies (4), Journal of Financial Economics (3), Quantitative Economics , Journal of Econometrics (3), Journal of Financial Econometrics (5), Management Science , Journal of Banking and Finance (7), Journal of Empirical Finance , Global Finance Journal , Journal of Emerging Markets Finance , International Review of Finance .

Editorial and other Academic Services

1. President, Brazilian Society of Finance, 2013-2015

2. Associate Editor, Journal of Financial Econometrics , July 2015 -

3. Associate Editor, Journal of Banking and Finance , 2011 -

4. Editorial Board, Brazilian Review of Finance, 2008 -

5. Director, Brazilian Society of Finance, 2015-2017

Program Committee

Midwest Finance Association Meeting 2016, SoFiE 2012, Northern Finance Association Meeting 2010, Joint SoFiE-EPGE 2012 Conference, Brazilian Meeting of Finance 2006-2015.

Organizer or co-organizer: Second International workshop in Financial Econometrics (2015), René Garcia's 65th Anniversary Conference in Montreal (2015), Joint SoFiE-EPGE 2012 Conference, Brazilian Meeting of Finance (2006-2009, 2014-2017), Financial Economics in Rio (2010).

Working Papers

11. Nonparametric Tail Risk, Stock Returns and the Macroeconomy, (2016) (with K. Ardison, R. Garcia and J. Vicente). Download our Tail risk time-series   here

Tail Risk based on Hellinger's risk-neutral measure extracted from five principal components of 25 Fama and French size and book to market portfolios.

10. Robust Assessment of Hedge Fund Performance through Nonparametric Risk Adjustment, (2013, under revision) (with R. Garcia), Revise and Resubmit, Journal of Applied Econometrics.

9. Forecasting Bond Yields with Segmented Term Structure Models, (2015) (with K. Ardison, D. Kubudi, A. Simonsen, and J. Vicente), Revise and Resubmit, Journal of Financial Econometrics.   Online Appendix

8. Nonparametric Option Pricing with Generalized Entropic Estimators, (2014, under revision) (with K. Ardison and R. Azevedo).

Work in Progress

7. " On the Estimation of Disaster Models with GEL Estimators ", (2016) (with Diego Brandão)

6. " High Frequency Tail Risk ", (2016) (with Kym Ardison and René Garcia)

5. " Option Pricing Under Multiscale Stochastic Volatility ", (2016) (with Cristina Tessari)

4. " Nonparametric Entropic Estimation of State Densities Implicit in Interest Rate Derivatives ", (2014) (with Rafael Azevedo)

3. " Estimation of Misspecified Asset Pricing Models with Multiple Entropic Estimators ", (2013) (with Diego Brandão and René Garcia)

2. " Higher-Order Risks and Observable Properties of the Stochastic Discount Factor ", (2014) (with Fabio Trojani and Paul Schneider)

1. " Generalized Empirical Saddlepoint Approximation with Applications to Asset Pricing", (2014) (with Benjamin Holcblat)

Published and Forthcoming Papers

14. "Economic Implications of Nonlinear Pricing Kernels", forthcoming at Management Science, (2016) (with R. Garcia) SSRN link.   Online Appendix   slides 2013 NASM

13. "Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators", Journal of Econometrics, Vol 170, Issue 2, 519-537, (2012) (with R. Garcia). SSRN link.

12. "Term Structure Movements Implicit in Asian Option Prices ", Quantitative Finance , Vol 12, 1, 119-134 (2012) (with J. Vicente),   pdf.

11. "Do Interest Rate Options Contain Information About Excess Returns?", Journal of Econometrics , Vol. 164, 35-44, (2011) (with J. Graveline and S. Joslin),   pdf.

10. "Does Curvature Enhance Forecasting? ", International J. of Theoretical and Applied Finance , Vol. 12, 8, 1171-1196, (2009) (with R. Gomes, A. Leite, A. Simonsen, and J. Vicente),   pdf,

9. " Are Interest Rate Options Important for the Assessment of Interest Rate Risk?", Journal of Banking and Finance , Vol. 33, 7, 1376-1387, (2009) (with J. Vicente)   pdf, (Online Appendix:   pdf)

8. "Identifying Volatility Risk Premia from Fixed Income Asian Options ", Journal of Banking and Finance , Vol. 33, 4, 652-661, (2009). (with J. Vicente)   pdf, (Online Appendix:   pdf)

7. "The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model ", Journal of Banking and Finance , Vol. 32, 12, 2695-2705, (2008). (with J. Vicente)   pdf, (Online Appendix:   pdf)

6. "Stochastic Volatility Models and Option Pricing in Brazilian Stock Markets: An Empirical Investigation", Journal of Emerging Markets Finance , Vol. 4, 2, 169-206, (2005). (with S. Dana)   pdf

5. " Affine Processes, Arbitrage-Free Term Structures of Legendre Polynomials and Option Pricing", International Journal of Theoretical and Applied Finance , Vol. 8, 2, (2005),   pdf

4. " Time-Varying Risk Premia in Emerging Markets: Explanation by a Multi-Factor Affine Term Structure Model", International Journal of Theoretical and Applied Finance , Vol. 7, 7, 919-947, (2004).   pdf

3. "A Generalization of Principal Components Analysis for Non-Observable Term Structures in Emerging Markets", International Journal of Theoretical and Applied Finance , Vol. 6, 8, 885-903, (2003). (with A. Duarte and C. Fernandes)   pdf

2. "Credit Spread Arbitrages in Emerging Eurobond Markets", Journal of Fixed Income , 2, 100-111, (2000). (with A. Duarte and C. Fernandes)   pdf

1. "Decomposing and Simulating the Movements of Term Structures in Emerging Eurobonds Markets", Journal of Fixed Income , 1, 21-31, (1998). (with A. Duarte and C. Fernandes)

2015-2010 Presentations

27. René Garcia's 65th Anniversary Conference, Montreal (August 16, 2015).

26. TSE Financial Econometrics Conference, Toulouse (May 22, 2015).

25. CIREQ Financial Econometrics Conference, Montreal (May 8, 2015).

24. Princeton ORFE Financial Mathematics Seminar, Princeton (March 5, 2015).

23. Duke Financial Econometrics Seminar, Durham (Feb 9, 2015).

22. SoFiE Harvard Summer School, Cambridge (July 29, 2014).

21. XIV Brazilian Meeting of Finance, Recife (July 25, 2014).

20. Seventh Annual SoFiE Conference, Toronto (June 12, 2014) (poster session).

19. First International Financial Econometrics Workshop, Natal (October 14, 2013).

18. XIII Brazilian Meeting of Finance, Rio de Janeiro (July 19, 2013).

17. North American Summer Meeting of the Econometric Society, Los Angeles (June 14, 2013).

16. XII Brazilian Meeting of Finance, Sao Paulo (July 19, 2012).

15. Fifth Annual SoFiE Conference, Oxford (June 20, 2012) (poster session).

14. TSE Nonlinear and Financial Econometrics Conference, Toulouse (May 12, 2012).

13. Measuring Risk Conference At Princeton, New Jersey (Oct 7, 2011).

12. QFE Seminar at NYU - Stern, New York, (Oct 3, 2011).

11. 14th School of Time Series and Econometrics, Gramado, (August 5, 2011) (invited presentation).

10. XI Brazilian Meeting of Finance, Rio de Janeiro (July 28, 2011).

9. Fourth Annual SoFie Conference, Chicago (June 16, 2011) (poster session).

8. Lubrafin 2011, Natal (March 25, 2011).

7. Stanford Financial Mathematics Seminar, Palo Alto (January 14, 2011).

6. UCSD Rady School, San Diego, (January 12, 2011).

5. Northern Finance Association, Winnipeg, (September 25, 2010).

4. Brown Bag Baruch College Seminar, New York, (September 21, 2010).

3. X Brazilian Meeting of Finance, Sao Paulo, (July 31, 2010).

2. SAFE- New Directions in Term Structure Modelling, Verona, (June 29, 2010).

1. Workshop on Yield Curve Modelling and Forecasting, Erasmus Univ. Rotterdam, Rotterdam, (June 24, 2010)

Selected Invited Discussions

17. "`A Theory of Arbitrage-free Dispersion."' (by P. Orlowski, A. Sali, and F. Trojani), Second International Workshop in Financial Econometrics, Salvador, October 2015. pdf

16. "`Estimation of Dynamic Asset Pricing Models with Robust Preferences."' (by T. Christensen), CIREQ Econometrics Conference, Montreal, May 2015. pdf

15. "`Robust Preference Expansions."' (by J. Borovicka, and L.P. Hansen), TSE Financial Econometrics Conference, Toulouse, May 2014. pdf

14. "`Tail Risk Premia and Return Predictability."' (by T. Bollerslev, V. Todorov, and L. Xu), First International Workshop in Financial Econometrics, Natal, October 2013. pdf

13. "` Pricing Default Events: Surprise, Exogeneity, and Contagion."' (by C. Gourieroux, A. Monfort, and J.-P. Renne), TSE Financial Econometrics Conference, Toulouse, May 2013. pdf

12. "` Hedging in Fixed Income Markets."' (by A. Malkhozov, P. Mueller, A. Vedolin, and G. Venter), TSE Financial Econometrics Conference, Toulouse, May 2013. pdf

11. "`Nonparametric Stochastic Discount Factor Decomposition."' (by T. Christensen), SoFiE-EPGE Long Run Risk Conference, 2012, Rio de Janeiro. pdf

10. "`Davids, Goliaths, and Business Cycles."' (by J. Duarte and N. Kapadia), XII Brazilian Meeting of Finance, 2012, Sao Paulo. pdf

9. "Duality in Mean-Variance Frontiers with Conditioning Information" (by F. Penaranda and E. Sentana), TSE Nonlinear and Financial Econometrics Conference, Toulouse, May 2011 pdf..

8. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data Asymptotics" (by F. Araujo and J.V. Issler), Lubrafin, Natal, March 2011, pdf.

7. "The impact of political convergence on financial integration." (by M-C Beaulieu, M-H Gagnon, and L. Khalaf), NFA Meetings, Winnipeg, September 2010, pdf.

6. "Macroeconomic Uncertainty, Differences in Beliefs, and Bond Risk Premia." (by A. Buraschi and P. Whelan), SAFE Conference, Verona, June 2010, pdf.

5. "The fourth-quarter consumption growth rate: A pure-macro, not-estimated stock return predictor that works in-smaple and out-of-sample." (by S.V. Moller and J. Rangvid), WFA, Victoria, June 2010, pdf.

4. "Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks" (by S. Joslin, K. Singleton and M. Priebsch), TSE Financial Econometrics Conference, Toulouse, May 2010, pdf .

3. "How Useful Are No-Arbitrage Restrictions for Forecasting the Term Structure of Interest Rates?" (by R. Giacomini and A. Carriero), VIII Brazilian Meeting of Finance, 2008, Rio de Janeiro. pdf

2. "Estimating Asset Correlations from Stock Prices or Default Rates – Which Method is Superior?" (by K. Duellmann, J. Kull and M. Kunisch), EFMA Risk and Asset Management Symposium, 2008, Nice.   pdf

1. "Affine Term Structure Models, Volatility, and the Segmentation Hypothesis." (by K. Jacobs and L. Karoui), NFA, 2006, Montreal.   pdf

Publications in (and Papers Submitted to) Refereed Brazilian Journals

17. " Measuring Long Run Risk: Particularities of the Brazilian Economy. ", (2016) (with D. Brandão), in preparation.

16. " Stochastic Discount Factor Bounds and Disaster Asset Pricing Models: A Review. ", (2016) (with M. Medeiros), in preparation.

15. " An SDF Approach to Hedge Funds’ Tail Risk: Evidence from Brazilian Funds. ", (2016) (with L. Leal), submitted to, Brazilian Review of Econometrics .

14. " A Robust Approach to the Welfare Cost of Economic Fluctuations Based on Brazilian Consumption Data ", (2016) (with P. Engel)   pdf, submitted to, Brazilian Review of Econometrics .

13. " Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil", Brazilian Review of Econometrics , Vol. 36, 2, (2016) (with B. Ricca and C. Tessari)   pdf , (Online Appendix:   pdf)

12. " Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters", Brazilian Review of Econometrics , Vol. 36, 1, 43-62 (2016). (with A. Faria and R. Ornelas)   pdf

11. " Pricing Options Embedded in Debentures with Credit Risk", Brazilian Review of Econometrics , Vol. 36, 1, 21-42, (2016). (with L. Pereira)   pdf

10. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model", Brazilian Review of Econometrics , Vol. 34, 2, 203-246, (2014). (with K. Ardison and D. Kubudi), SSRN link.

9. " Imunization of Fixed-income Portfolios using an Exponential Parametric Model ", Brazilian Review of Econometrics , Vol. 34, 2, 155-201, (2014). (with B. Lund)   pdf

8. " Forecasting the Brazilian Term Structure using Macroeconomic Factors", Brazilian Review of Econometrics , Vol. 34, 1, 45-77, (2014). (with A. Faria)   pdf

7. "Extracting Default Probabilities from Sovereign Bonds", Brazilian Review of Econometrics , Vol. 28, 1, 77-94, (2008). (with B. Meres)   pdf

6. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial ", (in Portuguese), Revista Brasileira de Economia , Vol. 62, 4, 497-510, (2008). (with R. Gomes, A. Leite and J. Vicente)   pdf

5. " Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial", Brazilian Review of Finance, Vol. 5, 1, (2007). (with F. Pinheiro, and J. Vicente), in Portuguese   pdf

4. "Pricing and Modeling Credit Derivatives ", Brazilian Review of Econometrics , Vol. 27, (2007), 107-129. (with M. Akat and G. Papanicolaou)   pdf

3. "A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models", Brazilian Review of Econometrics , Vol. 25, 1, 89-114, (2005).   pdf

2. " Interest Rate Risk Measurement in the Brazilian Sovereign Market", Estudos Economicos, Vol. 34, 2, (2004). (with A. Duarte and C. Fernandes) pdf

1. " Alocacao de Carteiras com Risco de Credito", Brazilian Review of Finance, Vol. 1, 2, 301-339, (2003). (with R. Oliveira) , in Portuguese   pdf

Some Pictures