Alan Genaro

Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration

Sao Paulo

BRAZIL

SCHOLARLY PAPERS

8

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1,592

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Afinal, produtos estruturados são bons para quem? (After All, To Whom the Structured Products are Good?)

Number of pages: 24 Posted: 03 Apr 2021
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 590 (57,490)

Abstract:

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Structured products; retail investors; conflict of interest

2.

Pricing Interest Rate Derivatives Under Monetary Policy Changes

Number of pages: 26 Posted: 15 Apr 2012 Last Revised: 28 Jul 2013
Alan Genaro and Marco Avellaneda
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 305 (124,656)
Citation 1

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Interest rate derivatives, Scheduled events, Monetary Policy

3.

Price Transparency in OTC Equity Lending Markets: Evidence From a Loan Fee Benchmark

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 63 Posted: 27 Mar 2020 Last Revised: 11 May 2021
University of Sao Paulo (USP), Faculty of Economics, Administration and Accounting (FEA), Students, Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 273 (139,998)
Citation 1

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price transparency, OTC markets, benchmarks, equity lending, search costs

4.

Does the Lending Rate Impact ETF's Prices?

Number of pages: 19 Posted: 23 Apr 2012
Alan Genaro and Marco Avellaneda
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 145 (249,074)

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Hard-to-borrow, Short-selling

5.

A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes

Chaos, Solitons & Fractals, Forthcoming
Number of pages: 44 Posted: 25 Apr 2014 Last Revised: 18 Feb 2016
Juan Arismendi-Zambrano and Alan Genaro
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 103 (319,901)
Citation 2

Abstract:

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Multi-asset option pricing, Multivariate Risk Management, Edgeworth Expansion, Higher-order Moments

6.

Market Impact: Evidence From the Brazil Stock Market

Number of pages: 32 Posted: 28 Mar 2020
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 88 (353,745)

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Market Impact, Liquidity Risk, Emerging Markets, False Discovery Rate

7.

Systematic Multi-Period Stress Scenarios with an Application to CCP Risk Management

Number of pages: 41 Posted: 31 Jul 2015 Last Revised: 03 Aug 2015
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
Downloads 88 (353,745)

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Robust Optimization; Stress Scenarios, Discrete Optimization, Monte Carlo Simulation, CCP, Maximum block-entropy

8.

Mitigating Procyclicality in CCPs with Stress Testing: A Hybrid Approach

Posted: 04 Mar 2013 Last Revised: 29 Jul 2015
Alan Genaro
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration

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Stress Testing, Plausible stress scenarios, Copula, EVT, CCPs

Other Papers (1)

Total Downloads: 229
1.

Well-Connected Short-Sellers Pay Lower Loan Fees: A Market-Wide Analysis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 75 Posted: 29 Jul 2015 Last Revised: 19 Sep 2019
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, University of São Paulo (USP) - Department of Economics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Downloads 229 (119,790)

Abstract:

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loan fees, search-costs, lending market, short-selling restrictions