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Paper / 2022SMQ / 267949497416188
Hedger of last resort: Evidence from Brazilian FX interventions, local credit, and global financial cycles
Andrea Polo / Dmitry Khametshin / José-Luis Peydró / Rodrigo Barbone Gonzalez
banking / causal identificationResource overview

Hedger of last resort: Evidence from Brazilian FX interventions, local credit, and global financial cycles

Paper2022

by Andrea Polo, Dmitry Khametshin, José-Luis Peydró, Rodrigo Barbone Gonzalez

Tags
bankingcausal identificationderivativesforeign exchange

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Suggested foundations for options and derivatives pricing and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  3. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

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