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Introduction In my latest post I wrote about package GetEdgarData, which downloaded structured data from the SEC. I’ve been working on …

Introduction As of 2019-10-31, this package is discontinued and will not longer be updated. See this post for more details about the …

The shiny version of GetDFPData is currently hosted in a private server at DigitalOcean. A problem with the basic (5 USD) server I was …

Introduction Quandl is one of the best platforms for finding and downloading financial and economic time series. The collection of free …

Update 2019-08-09: The shutdown is just postponed to 2019-11-14. See the official release here. Surprise, surprise. B3’s ftp site is …

Skills

R

100%

Finance

100%

Tennis

110%

Experience

 
 
 
 
 
March 2018 – Present
Porto Alegre

Associate Professor

UFRGS

Teacher and Researcher
 
 
 
 
 
March 2011 – March 2018
Porto Alegre

Assistant Professor

UFRGS

Teacher and Researcher
 
 
 
 
 
March 2009 – January 2010
London/UK

Assistant Researcher (PhD Internship)

Bank of England

 
 
 
 
 
January 2008 – January 2009
Reading/UK

Teaching Assistant

Reading University

Assisted lecturer in Finance

Selected Publications

This paper introduces an approach designed for personal credit risk, with possible applications in risk assessment and optimization of debt contracts. We define a structural model related to the financial balance of an individual, allowing for cashflow seasonality and deterministic trends in the process. Based on the proposed model, we develop risk measures associated with the probability of default rates conditional on time. This formulation is best suited to short-term loans, where the dynamics of individuals’ cashflow, such as seasonality and uncertainty, can significantly impact future default rates. In the empirical section of this paper, we illustrate an application by estimating risk measures using simulated data. We also present the specific case of optimization of a financial contract, where, based on an estimated model, we find the yield rate/time to maturity pair that maximizes the expected profit or minimizes the default risk of a short-term debt contract.
Journal of Credit Risk, 2019

Using a database of potential, possible, or probable predatory scholarly open-access journals, the objective of this research is to study the penetration of predatory publications in the Brazilian academic system and the profile of authors in a cross-section empirical study. Based on a massive amount of publications from Brazilian researchers of all disciplines during the 2000 to 2015 period, we were able to analyze the extent of predatory publications using an econometric modeling. Descriptive statistics indicate that predatory publications represent a small overall proportion, but grew exponentially in the last 5 years. Departing from prior studies, our analysis shows that experienced researchers with a high number of non-indexed publications and PhD obtained locally are more likely to publish in predatory journals. Further analysis shows that once a journal regarded as predatory is listed in the local ranking system, the Qualis, it starts to receive more publications than non-predatory ones.
Scientometrics, 2018