Caio Almeida

Associate Professor of Finance

Graduate School of Economics, 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 (2), Journal of Financial Econometrics (5), Management Science , Journal of Banking and Finance (7), 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 Banking and Finance, 2011 -

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

Program Committee

NFA 2010, SoFiE 2012, Asset Pricing and Portfolio Allocation in the Long Run 2012 Joint SoFiE-EPGE Conference, Brazilian Meeting of Finance 2006-2014

Working Papers

1. "Economic Implications of Nonlinear Pricing Kernels", (2007, revised, Aug 2013) (with R. Garcia) SSRN link.   slides 2013 NASM

Presented at NASM Econometric Society at USC (2013), QFE Seminar at NYU-Stern (2011), Measuring Risk Conference at Princeton (2011), Stanford Financial Math. Seminar (2011), AFA 2009 (San Francisco), EEA-ESEM 2008 (Milan), EFA 2008 (Athens), and SoFiE 2008 (NY), among others.

2. "Robust Assessment of Hedge Fund Performance through Nonparametric Risk Adjustment", (2011, revised, Aug 2013) (with R. Garcia) SSRN link.

Presented at the 2011 Hedge Fund Conference of the Oxford-Man Institute, Inquire UK Seminar in Bath, 2012 EDHEC-Risk Days Europe, Toulouse School of Economics Financial Econometrics Conference (Toulouse, May 2012), Fifth Annual SoFiE Conference (Oxford, June, 2012), among others.

3. "Segmentation and Cointegration on Yield Curve Predictability", (2012, last revision, Nov 2014) (with K. Ardison, D. Kubudi, A. Simonsen, and J. Vicente), SSRN link.

Presented at 2010 Workshop on Yield Curve Modeling and Forecasting in Rotterdam, Fifth Annual SoFiE Conference (Oxford, June, 2012).

4. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model", (March, 2014) (with D. Kubudi),   pdf.

5. "Nonparametric Option Pricing with Generalized Entropic Estimators", (2013, revised, Aug 2014) (with R. Azevedo),   pdf.

Presented at 2013 International Workshop in Financial Econometrics (Natal), 2013 Meeting of the Brazilian Econometric Society.

Work in Progress

1. "Nonparametric Tail Risk and Stock Returns: Predictability and Risk Premia", (2013) (with K. Ardison, O. Guillen and J. Vicente)

Presented at 2013 International Workshop in Financial Econometrics (Natal), 2014 SoFiE Conference (Toronto), 2014 SoFiE Harvard Summer School, 2014 LAMES (scheduled).

2. "Estimation of Misspecified Asset Pricing Models with Multiple Entropic Estimators", (2013) (with D. Brandao and R. Garcia)

3. " Higher-Order Risks and Observable Properties of the Stochastic Discount Factor ", (2014) (with F. Trojani and P. Schneider)

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

Published and Forthcoming Papers

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.

Presented at 2011 SoFie Conference (Chicago), Lubrafin 2011 (Natal), Rady School (2011), EFA 2009 (Bergen).

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.

Presented at the Bank of Canada 2006 FI Conference (Montreal), AFA 2007 (Chicago), Lubrafin 2007 (Fortaleza), SAFE 2010 (Verona).

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)

Presented at the WFA 2008 (Hawaii).

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)

2014-2010 Presentations

23. LAMES, São Paulo (scheduled, November 20, 2014).

21. 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

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), 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 Refereed Brazilian Journals

9. " Imunização de Carteiras de Renda Fixa via um Modelo Paramétrico Exponencial ", Brazilian Review of Econometrics , (2014). forthcoming (with B. Lund)

8. " Previsão da Estrutura a Termo Brasileira Utilizando Fatores Macroeconômicos", Brazilian Review of Econometrics , (2014). forthcoming (with A. Faria)

7. "Extracting Default Probabilities from Sovereign Bonds", Brazilian Review of Econometrics , Vol. 28, 1, (2008), 77-94. (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, (2008), 497-510. (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, (2005), 89-114.   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, (2003), 301-339. (with R. Oliveira) , in Portuguese   pdf

Some Pictures