Contact Me
Jose Renato Haas Ornelas
BandeiraBrasil

Research

My main area of interest is Finance, especially Behavior Finance, Risk Management, Derivative Pricing and Performance Evaluation. During the Master studies, my research was focused in derivative pricing, more specifically on the IDI option from the Brazilian Deriative Exchange (BM&F). During the PhD studies, my research was focused on Behavior Finance, altough some research in risk management was also undertaken. Since I work for the Risk Management area for monetary policy in the Central Bank of Brazil, I have interest and papers published in this area also. Currently, my research is in the area of volatility risk premia, short-selling and monetary policy.

For my Author page in SSRN, click here.

For my Author page in Google Scholar Citations: click here.

Working Papers

 

Published Papers

 

Books and Book Chapters

 

  • Performance Attribution Methodology for Fixed Income Portfolios written together with Antonio Francisco Silva Jr and Pablo de Carvalho. Published as a chapter of the book 'Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds' organized by Joachim Coche, Gabriel Petre and Ken Nyholm. Palgrave Macmillan, 2011.

     

  • Behavior of Equity Foreign Investors on Emerging Markets, LAP Academic Publishing, Germany, 2011. Click here for a list of bookstores selling the book.
  • Hidden Risks in Mean Variance Optimization,written together with José Luiz Fernandez. Published as a chapter of the book 'Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds', organized by Arjan B. Berkelaar, Joachim Coche and Ken Nyholm Palgrave Macmillan, 2010. Click here to buy the book.