New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency II and will come in force from 1 January 2016. These requirements, derived by a Standard Formula or an Internal Model, will be by far more risk-sensitive than the required...

New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency II and will come in force from 1 January 2016. These requirements, derived by a Standard Formula or an Internal Model, will be by far more risk-sensitive than the required...

La maggior parte dei lavori sulla taratura statistica univariata e multivariata propongono contributi in ambito parametrico inquadrato in un contesto statistico classico o bayesiano. Oltre alla presenza dei problemi tipici dell'approccio parametrico (scelta della legge distribuzionale, del...

This article proposes a new method for the estimation of the parameters of a simple linear regression model which is based on the minimization of a quartic loss function. The aim is to extend the traditional methodology, based on the normality assumption, to also take into account higher moments...

In asset allocation processes the estimation of standard deviations is often measured with error. As a result, the risk adjusted return ratios will be subject to estimation error. Since risk estimation is crucial in investment decisions, several risk measures have been suggested to take into...

Due to the complexity and heterogeneity of hedge fund strategies, assessing their performance is a challenging task. Reminiscent of the mutual fund industry, the literature has evolved in the direction of refining traditional measures (e.g. the Sharpe ratio) or introducing new ones. This paper...

This article proposes a new method for the estimation of the parameters of a simple linear regression model which is based on the minimization of a quartic loss function. The aim is to extend the traditional methodology, based on the normality assumption, to also take into account higher moments...

Supervisory stress tests assess the impact of an adverse macroeconomic scenario on the profitability and capitalisation of a large number of banks. The results of such stress test exercises have recently been disclosed to the public in an attempt to restore confidence and to curb bank opaqueness...

Previous studies find positive stock market reactions around announcements that hedge funds own large equity stakes in companies and use this evidence to support the hypothesis that hedge fund activism creates value. A concurrent explanation is that the price reaction reflects, at least in part,...