Caio Almeida
Graduate School of Economics, FGV
[email protected]
http://www.fgv.br/professor/calmeida/
5521-3799-5827
Academic Positions
Sep 2012-
Associate Professor (with tenure), Graduate School of Economics,
Getulio Vargas Foundation
2006-2012
Assistant Professor (tenure track), Graduate School of Economics,
Getulio Vargas Foundation
2001-2006
Assistant Professor, Department of Economics and Business School,
IBMEC-RJ
2001-2003
Adjunct Professor, M.S. Program in Financial Mathematics, IMPARJ
Jan-March 2015
Visiting Researcher, Bendheim Center for Finance, Princeton University
Jan-Feb 2011
Visiting Researcher, Graduate School of Business, Stanford University
2002-2004
Visiting Researcher, Department of Mathematics, Stanford University
Education
Ph.D. in Electrical Engineering (Applied Statistics, 2001)
Catholic University of Rio de Janeiro (PUC-RJ)
Post Graduation in Mathematics (Probability, 1999)
National Institute of Pure and Applied Mathematics (IMPA-RJ)
M.Sc. in Electrical Engineering (Applied Statistics, 1998)
Catholic University of Rio de Janeiro
B.Sc. in Computer Engineering, 1995
Catholic University of Rio de Janeiro
Research Interests
Theoretical and Empirical Issues in Finance and Financial
Econometrics:
GMC Estimators Applied to Asset Pricing Problems, Nonparametric
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Option Pricing, Tail Risk Modelling, Dynamic Term Structure Models; Stochastic Discount Factor Bounds; Stochastic Volatility Models;
Credit Risk Models.
Refereeing
International Journals
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 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 -
Program Committee
Northern Finance Association Meetings (2010), Society for Financial
Econometrics (2012), Asset Pricing and Portfolio Allocation in the
Long Run 2012 Joint SoFiE-EPGE Conference, Brazilian Meeting of
Finance 2006-2015.
Working Papers
1. “Economic Implications of Nonlinear Pricing Kernels”, (2013) (with
R. Garcia), R&R.
2. “Forecasting Bond Yields with Segmented Term Structure Models”,
(2013) (with K. Ardison, D. Kubudi, A. Simonsen, and J. Vicente),
submitted.
3. “Robust Assessment of Hedge Fund Performance through Nonparametric Discounting” (2013) (with R. Garcia), R&R.
4. “Nonparametric Option Pricing with Generalized Entropic Estimators”, (2014) (with R. Azevedo).
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Work in Progress
6. “Nonparametric Tail Risk and Stock Returns: Predictability and
Risk Premia”,(2013) (with K. Ardison, R. Garcia, O. Guillen and J.
Vicente)
7. “Estimation of Misspecified Asset Pricing Models with Multiple
Entropic Estimators”, (2013) (with D. Brandao and R. Garcia)
8. “ Generalized Empirical Saddlepoint Approximation with Applications to Asset Pricing”,(2014) (with B. Holcblat)
9. “Nonparametric Entropic Estimation of State Densities Implicit in
Interest Rate Derivatives, (2011) (with K. Ardison and R. Azevedo)
Publications and Forthcoming
10. Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators”, (2012) (with René Garcia), Journal of Econometrics, Vol 170, Issue 2, 519-537.
11. “Term Structure Movements Implicit in Asian Option Prices”,
(2012) (with J. Vicente), Quantitative Finance, Vol 12, 1, 119-134.
12. “Do Interest Rate Options Contain Information About Excess
Returns?”, (2011) (with J. Graveline and S. Joslin), The Journal of
Econometrics, Vol. 164, 35-44.
13. “Does Curvature Enhance Forecasting?”, (2009) (with R. Gomes,
A. Leite and J. Vicente), International Journal of Theoretical and Applied Finance, Vol 12, 8, 1171-1196.
14. “Are Interest Rate Options Important for the Assessment of Interest Rate Risk?”, Journal of Banking and Finance, Vol. 33, 7, (2009),
1376-1387. (with J. Vicente)
15. “Identifying Volatility Risk Premia from Fixed Income Asian Options ”, Journal of Banking and Finance, Vol. 33, 4, (2009), 652-661.
(with J. Vicente)
16. “The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model”, Journal of Banking and Finance, Vol.
32, 12, (2008), 2695-2705. (with J. Vicente)
17. “Stochastic Volatility Models and Option Pricing in Brazilian
Stock Markets: An Empirical Investigation”, Journal of Emerging
Market Finance, August 2005 (with S. Dana)
18. “Affine Processes, Arbitrage-Free Term Structures of Legendre
Polynomials and Option Pricing”, International Journal of Theoretical
and Applied Finance, Vol. 8, 2, (2005).
19. “Time-Varying Risk Premia in Emerging Markets: Explanation by
a Multi-Factor Affine Term Structure Model”, International Journal
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of Theoretical and Applied Finance, Vol. 7, 7, (2004).
20. “A Generalization of PCA for Non-Observable Term Structures”,
International Journal of Theoretical and Applied Finance, Vol. 6, 8,
(2003). (with C. Fernandes and A. Duarte)
21. “Credit Spread Arbitrages in Emerging Eurobond Markets”, Journal of Fixed Income, 2, December, (2000). (with C. Fernandes and A.
Duarte)
22. “Decomposing and Simulating the Movements of Term Structures
in Emerging Eurobond Markets”, Journal of Fixed Income, 1, 21-31,
June, (1998). (with C. Fernandes and A. Duarte)
Invited Seminars and Conference Seminars
*TSE Financial Econometrics Conference, Toulouse (May 22, 2015).
*CIREQ Financial Econometrics Conference, Montreal (May 8, 2015).
*Princeton ORFE Financial Mathematics Seminar, Princeton (March
5, 2015).
*Duke Financial Econometrics Seminar, Durham (Feb 9, 2015).
* SoFiE Harvard Summer School, Cambridge (July 29, 2014).
* XIV Brazilian Meeting of Finance, Recife (July 25, 2014).
* Seventh Annual SoFiE Conference, Toronto (June 12, 2014) (poster
session).
* First International Financial Econometrics Workshop, Natal, October 2013.
* XIII Brazilian Meeting of Finance, Rio de Janeiro, July 2013.
* North American Summer Meeting of the Econometric Society, Los
Angeles, June 2013.
* XII Brazilian Meeting of Finance, Sao Paulo, July 2012.
* Fifth Annual SoFiE Conference, Oxford, England, June 2012.
* Toulouse School of Economics Financial Econometrics Conference,
Toulouse, May 2012.
* Quantitative and Financial Econometrics Seminar, Stern, NYU, October 2011.
* invited speaker, Measuring Risk Conference, Bendheim Center for
Finance, Princeton University, October 2011.
* Invited speaker, 14th School of Time Series and Econometrics, Gramado, August 2011.
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* XI Brazilian Meeting of Finance, Rio de Janeiro, July 2011.
* Fourth Annual SoFiE Conference, Chicago, USA, June 2011.
* Lubrafin 2011, Natal, March 2011.
* Stanford Financial Mathematics Seminar, Palo Alto, January 2011.
* UCSD Rady School, San Diego, January 2011.
* Northern Finance Association, Winnipeg, September 2010.
* Brown Bag Baruch College Seminar, New York, September 2010.
* X Brazilian Meeting of Finance, Sao Paulo, July 2010.
* SAFE 2010 Conference, Verona, Italy, June 2010.
* Invited speaker, Workshop on Yield Curve Modelling and Forecasting, Erasmus Univ. Rotterdam, Netherlands, June 2010.
* EFA, Bergen, Norway, August 2009.
* ESEM, Barcelona, Spain, August 2009. (co-author presentation)
* SoFiE European Conference, Geneva, Switzerland, June 2009.
* AFA Annual Meeting, San Francisco, USA, January 2009.
* FMA Annual Meeting, Texas, USA, October 2008 (co-author presentation).
* NFA Annual Meeting, Calgary, Canada, September 2008 (co-author
presentation).
* 63rd European Meeting of the Econometric Society, Milan, Italy,
August 2008.
* European Finance Association Meeting (EFA), Athens, Greece, August 2008 (co-author presentation).
* EFMA Annual Meeting, Athens, Greece, June 2008 (co-author presentation).
* WFA Annual Meeting, Hawaii, USA, June 2008.
* SoFiE Inaugural Conference, New York, USA, June 2008.
* Imperial College Conference in Financial Econometrics, London,
England, May 2008 (co-author presentation).
* EFMA Symposium on Risk and Asset Management, Nice, France,
April 2008.
* CIREQ GMM Conference, November 2007, (invited seminar) (coauthor presentation).
* 26th Brazilian Colloquium of Mathematics, IMPA, Brazil, July 2007,
(invited seminar).
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* University of Montreal, HEC, May 2007.
* AFA Annual Meeting, Chicago, USA, January 2007, (co-author presentation).
Selected Invited Discussions
* ”‘Misspecified Recovery.”’ (by J. Borovicka, L.P. Hansen, and J.
Scheinkman), XV Brazilian Meeting of Finance, Sao Paulo, July 2015
(scheduled).
* ”‘Estimation of Dynamic Asset Pricing Models with Robust Preferences.”’ (by T. Christensen), CIREQ Econometrics Conference, Montreal, May 2015.
* ”‘Robust Preference Expansions.”’ (by J. Borovicka, and L.P. Hansen),
TSE Financial Econometrics Conference, Toulouse, May 2014.
* ”‘Tail Risk Premia and Return Predictability.”’ (by T. Bollerslev,
V. Todorov, and L. Xu), First International Workshop in Financial
Econometrics, Natal, October 2013.
* ”‘ Pricing Default Events: Surprise, Exogeneity, and Contagion.”’
(by C. Gourieroux, A. Monfort, and J.-P. Renne), TSE Financial
Econometrics Conference, Toulouse, May 2013.
* ”‘ Hedging in Fixed Income Markets.”’ (by A. Malkhozov, P. Mueller,
A. Vedolin, and G. Venter), TSE Financial Econometrics Conference,
Toulouse, May 2013.
* ”‘Nonparametric Stochastic Discount Factor Decomposition.”’ (by T.
Christensen), SoFiE-EPGE Long Run Risk Conference, Rio de Janeiro,
October 2012.
* ”‘David, Goliaths, and Business Cycles”’ (by J. Duarte and N. Kapadia), Brazilian Meeting of Finance, Sao Paulo, July 2012.
* ”‘Duality in Mean-Variance Frontiers with Conditioning Information”’ (by F. Penaranda and E. Sentana), TSE Nonlinear and Financial
Econometrics Conference: A Tribute to A. Ronald Gallant, Toulouse,
May 2011.
* ”A Stochastic Discount Factor Approach to Asset Pricing Using
Panel Data Asymptotics” (by F. Araujo and J.V. Issler), Lubrafin,
Natal, March 2011.
* ”‘The impact of political convergence on financial integration.”’ (by
M-C Beaulieu, M-H Gagnon, and L. Khalaf), NFA Meetings, Winnipeg, September 2010.
* ”‘Macroeconomic Uncertainty, Differences in Beliefs, and Bond Risk
Premia”’ (by A. Buraschi and P. Whelan), SAFE 2010 Conference,
Verona, June 2010.
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* ”‘The fourth-quarter consumption growth rate: A pure-macro, notestimated stock return predictor that works in-smaple and out-ofsample.”’ (by S.V. Moller and J. Rangvid), Western Finance Association Meetings, Vancouver, June 2010.
* ”‘What Gaussian Macro-DTSMs Cannot Tell Us About the Macro
Economy?”’ (By K. Singleton and S. Joslin), Toulouse School of Economics Financial Econometrics Conference, Toulouse, May 2010.
* ”‘How Useful Are No-Arbitrage Restrictions for Forecasting the Term
Structure of Interest Rates?”’ ( By R. Giacomini and A. Carriero),
Brazilian Meeting of Finance, Rio de Janeiro, July 2008.
* ”‘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, Nice, April
2008.
* ”‘Affine Term Structure Models, Volatility, and the Segmentation
Hypothesis”’ (by K. Jacobs and L. Karoui), NFA, Montreal, September
2006.
Teaching Experience
PhD Courses:
- (2015): Probability Theory: Convergence of Measures and Martingales
- (2014): Advanced Topics in Asset Pricing
- (2009): Empirical Finance
- (2007): Dynamic Asset Pricing
MSc Courses:
- (2015): Statistics & Probability I
- (2014): Statistics & Probability I, Pricing Interest Rate and Credit
Derivatives
- (2013): Statistics & Probability I
- (2012): Asset Pricing, and Statistics & Probability I
- (2011): Continuous Time Finance, and Statistics and Probability I.
- (2010): Asset Pricing, and Statistics & Probability I.
- (2009): Asset Pricing, and Statistics & Probability I.
- (2008): Asset Pricing, and Statistics & Probability I.
- (2007): Asset Pricing.
- (2005): Fixed Income, Derivatives, Topics in Empirical Finance, Risk
Management with Value at Risk.
- (2002/2001): Fixed Income Derivatives, Introduction to Fixed Income, Derivatives, Discrete Time Finance, Matlab in Finance.
Undergraduate Courses:
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Time Series with Applications in Financial Econometrics (2015, 2014),
Numerical Methods in Finance (2004)
MBA Courses: (2004/2005):
Finance with EXCEL, and Portfolio Theory.
Short Courses: (2001 to 2005):
Matlab in Finance, Introduc. to Fixed Income Markets, Affine Processes in Finance, Market Risk, and, Derivatives.
Academic Awards
* First ANBIMA Fixed Income Prize with the paper ”‘What is the
Price of Interest Rate Risk in the Brazilian Swap Market?”’, at the
XII Brazilian Meeting of Finance, 2012, Sao Paulo.
* Post-doctorate Fellowship 2002-2004, Department of Mathematics,
Stanford University.
* Special PhD Fellowship 2000-2001, Fundação de Apoio a Pesquisa
do Rio de Janeiro (FAPERJ, State Entity, top 1% students)
* PhD Fellowship 1998-1999, Coordenação de Aperfeiçoamento de Pessoal do Ensino Superior (CAPES, Brazilian Government)
* Master of Science Fellowship 1996-1998, Conselho Nacional de Desenvolvimento Cientifico e Tecnologico (CNPq, Brazilian Government)
* Fellowships for Undergraduate Studies, 1993-1995, IBM and Catholic
University of Rio, top 1% students.
PhD Students
-Adriano Faria (FGV, expected 2017), Pedro Engel (FGV, expected
2017), Diego Brandao (FGV, expected 2016), Kym Ardison (FGV, expected 2017).
-Rafael Moura (FGV, 2013), Essays in Finance.
-Daniela Kubudi (FGV, 2013), Essays on the Term Structure of Interest Rates.
-Bruno Lund (FGV, 2009), Essays in Macroeconomics and Dynamic
Term Structure Models
-Axel Simonsen (FGV, 2009), Essays in Finance and Macroeconomics.
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-José Vicente (IMPA, 2006), Essays in General Equilibrium and Empirical Finance.
Professional Experience
01/2012-
Ad-hoc consultant at ANBIMA, Brazil
Modeling and implementation of term structure models for debentures
and other illiquid Assets.
04/2010-03/2012
Technical Consulting Project at Central Bank of Brazil, Brazil
Modeling and implementation of No-arbitrage and Equilibrium Affine
Models of the Term Structure.
12/2009-04/2011
Technical Consulting Project at ANBIMA, Brazil
Modeling and implementation of term structure models for Illiquid
Assets.
05/2007-02/2008
Technical Consulting Project at ANDIMA, Brazil
Modeling and implementation of reduced-form term structure models
for Regulation Purposes.
11/2006-09/2008
Technical Consulting Project at Central Bank of Brazil, Brazil
Modeling and implementation of term structure models with macroeconomic variables.
05/2005-07/2006
Expert on Arbitrage Case: Mellon x Petros, Brazil
Rxpert report on innumerous question regarding risk management and
asset pricing.
11/2005-04/2006
Technical Consulting Project at Itau Bank Broker House
Modeling and implementation of fixed income models.
09/1999-08/2002
Risk Manager at JGP Hedge Fund, Brazil
Estimation and management of market risk; performance evaluation
of traders and investment funds.
10/1996-09/1997
Fixed Income Quantitative Analyst, Pactual Bank, Brazil
Pricing and hedging Brady Bonds, Eurobonds, and fixed income options.
Updated:
June 2015
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