Helder Parra Palaro's Home Page

Email: helder1977@yahoo.com.br

Education

Cass Business School, City University, London UK (2004 - 2007)
PhD in Finance.
Dissertation : Essays in Hedge Fund Replication, Evaluation and Synthetic Funds.
Supervisor : Professor Harry M Kat .

State University of Campinas, Brazil (2002 - 2004)
MSc in Statistics.
Dissertation : Using Conditional Copulas to Estimate Value at Risk.
Supervisor : Professor Luiz Koodi Hotta.

State University of Campinas, Brazil (1998 - 2001)
BSc in Statistics.
BSc projects : Options pricing (6th semester), Value at Risk estimation (7th semester).

Editorial Work

Referee, European Journal of Finance (2009-)
Referee, Asia Pacific Management Review (2009-)
Referee, Brazilian Review of Finance (2008-)
Referee, International Journal of Business and Economics (2008-)

Publications

Hotta, L K; Lucas, E C and Helder Palaro (2008) Estimation of VaR using Copula and Extreme Value Theory,
Multinational Finance Journal 12 (3/4), 205-218.

Kat, H and Helder Palaro (2006) Replication and Evaluation of Funds of Hedge Funds Returns ,
In Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties
(eds: Greg Gregoriou), Chapter 3, Elsevier Press.

Hotta, L K and Helder Palaro (2006) Using Conditional Copulas to Estimate Value at Risk,
Journal of Data Science 4 (1), 93-115.

Kat, H and Helder Palaro (2005) Hedge Fund Returns: You Can Make Them Yourself! ,
Journal of Wealth Management 8, 62-68.

Working papers

Kat, H and Helder Palaro   Fundcreator: Reply to the Critics.
Kat, H and Helder Palaro   Replication-Based Evaluation of Hedge Fund Performance.
Kat, H and Helder Palaro   Hedge Fund Indexation the Fundcreator Way: Efficient Hedge Fund Indexation without Hedge Funds.
Kat, H and Helder Palaro   Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation.
Kat, H and Helder Palaro   Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication ,

Press Coverage

Valor Economico (In Portuguese), Software barateia custo para investir em hedge funds, 27/07/2007
The New Yorker, Hedge Clipping, 02/07/2007
Bloomberg, Hedge-Fund Returns Can Be Matched Without Fees, Professor Says, 28/11/2006
Financial Times, Low-cost ‘clone’ for funds launched, 28/11/2006
Financial Times, Replication is the new buzzword, 20/11/2006
The Economist, Send in the clones, 28/10/2006
The Economist, Special report - Hedge funds: Growing pains, 04/03/2006
Financial Times, Only 17% of hedge funds outperform, 13/02/2006
Financial Times, Better than hedge funds for less, 09/01/2006
HedgeWorld, Research eyes strong performance minus the fees, 06/01/2006
Independent Investor, Hedge funds: now for the low cost equivalent, 30/11/2005
Financial Times, Synthetic hedge fund returns 'better', 28/11/2005
Financial Times, Academics put their heads together on hedge funds, 20/06/2005

Presentations

EFMA 2006 Annual Meeting, Madrid, Spain. (2006)
"Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication"

2005 FMA Annual Meeting, Chicago, USA. (2005)
"Replicating and Evaluating Hedge Fund Returns."

16. Simposio Nacional de Probabilidade e Estatistica, Caxambu, Brazil. (2004)
"Applying copulas to estimate VaR."

First Brazilian Conference on Statistical Modelling in Insurance and Finance, Ubatuba, Brazil. (2003)
"Using conditional copulas to estimate VaR."

10a. Escola de Séries Temporais e Econometria, São Pedro, Brazil. (2003)
"Applying copulas to estimate VaR."

XXIII Congresso Nacional de Matemática Aplicada e Computacional, Santos, Brazil. (2000)
"Comparing Fuzzy and Stochastic Expectations."

Awards and Distinctions

Cass Business School - PhD Research Day - 06th July 2005, London UK - £250 prize for the best three posters.

Capes PhD Grant (2004-2007)

FAPESP MSc Grant (2002-2004)

Personal Information

Date of Birth : 6 December, 1977.

Lattes CV

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