Marcelo Brutti Righi

Federal University of Rio Grande do Sul

Marcelo Brutti Righi is full professor of finance at school of business from the Federal University of Rio Grande do Sul. His main focus of research is risk management and mathematical finance. Has publications and acts as a reviewer in journals with international prestige, such as Journal of Banking & Finance, Journal of Economics and Business, European Journal of Operational Research, Economic Modelling, Expert Systems with Applications, International Review of Financial Analysis, Journal of Risk, Physica A, Energy Economics, Journal of Risk Model Validation, among others.

Articles by Marcelo Brutti Righi

Original research

A theory for combinations of risk measures

This paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.

31 Mar 2023

Original research

A consumer credit risk structural model based on affordability: balance at risk

17 Jun 2019

Original research

Shortfall deviation risk: an alternative for risk measurement

In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.

23 Nov 2016

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