Risk and Compliance

Prof. Silva has been teaching in the Department of Economics – University of São Paulo, since 1985 with an emphasis on the areas of macroeconomics and numerical methods for derivatives, and was a Coordinator of the MBA on Derivatives of the Brazilian Commodities and Futures Exchange – BM&F, for ten years.

Before joining FRAM Capital as partner and as Risk Manager, he worked as a Consultant for MAPS – Risk Management Solutions.

Prof. Silva holds a B.A., M.Sc. and a Ph.D.  in Economics from USP – Universidade de São Paulo and was a Post-doctorate researcher at the University of California-Berkeley as a Fulbright scholar.

Prof. Silva was advisor of 12 master’s thesis and 2 doctoral dissertations in FEA (Faculty of Economics, Administration and Accounting) – University of São Paulo and three of his advisees have won the BM&F Prize of Best Masters Dissertation in Financial Derivatives. Prof. Silva has numerous publications such as:

1. "A Real Option Model with Uncertain, Sequential Investment and with Time to Build." Revista Brasileira de Finanças, Rio de Janeiro, v. 3, n. 3, p. 141-172, 2005 (co-authored by Guilherme Batistella Martins). It was awarded the RBFin Prize sponsored by BM&F as the best article of the review in 2005;

2. "Quasi-Monte Carlo in Finance: Extending for Problems of High Effective Dimension." Economia Aplicada, São Paulo, v. 9, n. 4, p. 577-594, 2005. (co-authored by Thierry Barbe);

3. "A Possibilidade de Saltos no Câmbio Implícita nos Prêmios das Opções." (The Possibility of Jumps Implicit on Option Premiums in the Foreign Exchange Market) Revista Brasileira de Economia, Jul/Sep 2002. (co-authored by Bernardo V. Guimarães);

4. “Modelos de Estimação da Densidade Neutra ao Risco Implícita em Preços de Opções.” (Estimates of Risk Neutral Density Implicit in Options Pricing - co-authored by Gustavo A. Oliveira). Anais do XXII Encontro Brasileiro de Econometria, Dec/ 2000;

5. Precificação de Opções sobre o Futuro do DI com o Modelo de Black, Derman & Toy.” (Option Pricing of Interbank Rate Futures with the Black, Derman & Toy Model) Resenha BM&F, no. 115, Jan/Feb 97.