Rodrigo S. Targino
Rodrigo S. Targino
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Recent & Upcoming Talks
2023
Risk Budgeting Portfolios from Simulations
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In …
Jul 31, 2023 12:00 AM
Escola de Séries Temporais, Florianópolis, Brazil
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Avoiding zero probability events when computing Value at Risk contributions
In this talk I will discuss the process of risk allocation for a generic multivariate model when the risk measure is chosen as the …
Jun 6, 2023 12:00 AM
SIAM Financial Mathematics 2023
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Risk Budgeting Portfolios from Simulations
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In …
May 9, 2023 12:00 AM
Financial and Actuarial Mathematics (FAM) seminar, UCLA
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Transform MCMC schemes for sampling intractable factor copula models
In financial risk management, modelling dependency within a random vector is crucial and a standard approach is the use of a copula …
Apr 21, 2023 12:00 AM
School of Mathematical and Statistical Sciences, ASU
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2022
Transform MCMC schemes for sampling intractable factor copula models
In financial risk management, modelling dependency within a random vector is crucial and a standard approach is the use of a copula …
Nov 2, 2022 12:00 AM
Department of Statistics and Applied Probability (PSTAT), UCSB
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Risk Budgeting Portfolios from Simulations
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In …
Sep 28, 2022 12:00 AM
Duncan Chair Actuarial Science Research Day, UCSB
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Risk Budgeting Portfolios from Simulations
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In …
Aug 23, 2022 12:00 AM
Research in Options (RiO)
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Transform MCMC schemes for sampling intractable factor copula models
In financial risk management, modelling dependency within a random vector is crucial and a standard approach is the use of a copula …
Jun 23, 2022 12:00 AM
Department of Statistical Sciences, UCL, London, UK
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2021
Risk Budgeting Portfolios from Simulations
Large pension plans face the difficulty of investing premiums in a financially prudent but economically efficient way. An investment …
Nov 1, 2021 12:00 AM
Data Science and Quantitative Strategies reading group (Itaú-Unibanco)
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Avoiding zero probability events when computing Value at Risk allocations
This talk is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the …
Jul 1, 2021 12:00 AM
24th International Congress on Insurance: Mathematics and Economics
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Risk Budgeting Portfolios from Simulations
Large pension plans face the difficulty of investing premiums in a financially prudent but economically efficient way. An investment …
Jun 1, 2021 12:00 AM
3rd Insurance Data Science Conference
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Transform MCMC schemes for sampling intractable factor copula models
In financial risk management, modelling dependency within a random vector is crucial and a standard approach is the use of a copula …
May 1, 2021 12:00 AM
RESIM 2021 : 13th International Workshop on Rare-Event Simulation
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Transform MCMC schemes for sampling intractable factor copula models
In financial risk management, modelling dependency within a random vector is crucial and a standard approach is the use of a copula …
May 1, 2021 12:00 AM
RESIM 2021 : 13th International Workshop on Rare-Event Simulation
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2020
The economic uncertainty index: the Brazilian case, its relations with the freedom of the press and new estimation methods
In this talk I will present the recent developments made by our group at FGV regarding the economic uncertainty index. In the first …
Oct 1, 2020 12:00 AM
School of Economics USP-RP
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Round table on the job market for data scientistis
Jul 1, 2020 12:00 AM
3ª Semana da Engenharia Matemática e Matemática Aplicada da UFRJ
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Avoiding zero probability events when computing Value at Risk allocations
Jul 1, 2020 12:00 AM
One World Actuarial Research Seminar (OWARS)
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Understanding Economic Policy Uncertainty index using semi-automatic news classification
Mar 1, 2020 12:00 AM
Encontro Brasileiro de Estatística Bayesiana (EBEB), Maresias, Brazil
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2019
Understanding Economic Policy Uncertainty index using semi-automatic news classification
Jan 1, 2019 12:00 AM
École Polytechnique, Paris, France
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Understanding Economic Policy Uncertainty index using semi-automatic news classification
Jan 1, 2019 12:00 AM
4th International Workshop in Financial Econometrics*, Maceió, Brazil
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Understanding Economic Policy Uncertainty index using semi-automatic news classification
Jan 1, 2019 12:00 AM
Escola de Séries Temporais e Econometria, Gramado, Brazil
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Understanding Economic Policy Uncertainty index using semi-automatic news classification
Jan 1, 2019 12:00 AM
Workshop on Stochastic Simulation Methods in Statistics, Rio de Janeiro, Brazil
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Understanding Economic Policy Uncertainty index using semi-automatic news classification
Jan 1, 2019 12:00 AM
Universidade Federal de Santa Catarina (UFSC), Florianópolis, Brazil
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The Impact of the Freedom of the Press on Risk
Jan 1, 2019 12:00 AM
SIAM Conference on Financial Mathematics & Engineering, Toronto, Canada.
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The Impact of the Freedom of the Press on Risk
Jan 1, 2019 12:00 AM
Universidade Federal do Rio de Janeiro (UFRJ), Rio de Janeiro, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2019 12:00 AM
3rd International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia.
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2018
The Impact of the Freedom of the Press on Risk
Jan 1, 2018 12:00 AM
33 Foro Nacional de Estadística (FNE) y 13 Congreso Latinoamericano de Sociedades de Estadśtica (CLATSE), Guadalajara, Mexico.
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The Impact of the Freedom of the Press on Risk
Jan 1, 2018 12:00 AM
Workshop in Econometrics, São Paulo, Brazil.
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Prediction of the Volatility Surface with Generalized Autoregressive Score (GAS) models
Jan 1, 2018 12:00 AM
Congresso Nacional de Matemática Aplicada e Computacional (CNMAC), Campinas, Brazil
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Efficient Monte Carlo algorithms for risk allocation
Jan 1, 2018 12:00 AM
Research in Options (RiO), Rio de Janeiro, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2018 12:00 AM
Simpósio Nacional de Probabilidade e Estatśtica, São Pedro, Brazil.
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2017
Realistic Risk Parity Portfolios
Jan 1, 2017 12:00 AM
3rd International Workshop in Financial Econometrics*, Arraial d'Ajuda, Brazil
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2017 12:00 AM
31st Brazilian Mathematical Colloquium, Rio de Janeiro, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2017 12:00 AM
UCT - Mid-Challenge Workshop in Financial Mathematics, Cape Town, South Africa.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2017 12:00 AM
Universidade Federal do Rio de Janeiro (UFRJ), Rio de Janeiro, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2017 12:00 AM
Instituto Nacional de Matemática Pura e Aplicada, Rio de Janeiro, Brazil.
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2016
Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2016 12:00 AM
3rd Workshop on Assessment of Risk (WAR)*, São Paulo, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2016 12:00 AM
Research in Options (RiO), Rio de Janeiro, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2016 12:00 AM
Fundação Getulio Vargas, Rio de Janeiro, Brazil.
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Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
Jan 1, 2016 12:00 AM
Cass Business School, London, United Kingdom.
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2015
Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2015 12:00 AM
Christmas Workshop on Sequential Monte Carlo and related methods, London, UK.
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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2015 12:00 AM
Sequential Monte Carlo Workshop*, Paris, France.
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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2015 12:00 AM
Congress on Insurance: Mathematics and Economics, Liverpool, UK.
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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2015 12:00 AM
Universidade Federal do Rio de Janeiro (UFRJ), Rio de Janeiro, Brazil.
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2014
Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2014 12:00 AM
Monte Carlo and Quasi Monte Carlo (MCQMC), Leuven, Belgium.
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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2014 12:00 AM
University of New South Wales (UNSW), Sydney, Australia.
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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Jan 1, 2014 12:00 AM
Research Students Conference, Nottingham, United Kingdom.
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2013
Optimal exercise strategies for operational risk insurance via multiple optimal stopping times
Jan 1, 2013 12:00 AM
Universidade Federal do Rio de Janeiro (UFRJ), Rio de Janeiro, Brazil.
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Jan 1, 2013 12:00 AM
CFE-ERCIM, London, United Kingdom.
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Jan 1, 2013 12:00 AM
Macquarie University, Sydney, Australia.
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2009
Hedging in incomplete markets using Fourier series method
Jan 1, 2009 12:00 AM
Research In Options*, Búzios, Brazil.
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Estimation of the parameters of the Heston model by Fourier series method
Jan 1, 2009 12:00 AM
13a Escola de Séries Temporais e Econometria, São Carlos, Brazil
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Calibration of the Heston model by Fourier series method
Jan 1, 2009 12:00 AM
Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil.
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Applications of the fractional Brownian motion in finance
Jan 1, 2009 12:00 AM
XIII Brazilian School of Probability*, Maresias, Brazil.
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2008
Bayesian selection for Heston models with volatilities determined by Fourier series method
Jan 1, 2008 12:00 AM
Research In Options (RiO)*, Angra dos Reis, Brazil.
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