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Credit ratings in structured finance and the role of systemic risk

Violi, Roberto - Banca d'Italia - 2010

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10008677911

Risk-Adjusted Forecasts of Oil Prices

Pagano, Patrizio; Pisani, Massimiliano - Banca d'Italia - 2006

This paper documents the existence of a significant forecast error on crude oil futures, particularly evident since the … forecast error on oil futures could have been explained in part by means of real-time US business cycle indicators, such as the … degree of utilized capacity in manufacturing. An out-of-the-sample prediction exercise reveals that futures which are …

Persistent link: https://www.econbiz.de/10005609334

The pricing of government-guaranteed bank bonds

Levy, Aviram; Zaghini, Andrea - Banca d'Italia - 2010

We examine the effects of the government guarantee schemes for bank bonds adopted in the aftermath of the Lehman Brothers demise to help banks retain access to wholesale funding. We describe the evolution and the pattern of bond issuance across countries to assess the effect of the schemes. Then...

Persistent link: https://www.econbiz.de/10008626021

An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil

Cesare, Antonio Di; Guazzarotti, Giovanni - Banca d'Italia - 2010

This paper analyzes the determinants of credit default swap spread changes for a large sample of US non-financial companies over the period between January 2002 and March 2009. In our analysis we use variables that the literature has found have an impact on CDS spreads and, in order to account...

Persistent link: https://www.econbiz.de/10008626020

Macroeconomic determinants of carry trade activity

Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011

From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...

Persistent link: https://www.econbiz.de/10009320179

The role of financial investments in agricultural commodity derivatives markets

Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012

This paper investigates the relationship between futures prices and financial investments in derivatives of the main … volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow ï¿½ rather than … precede - variations in futures returns. Employing a GARCH model, we find that the activity of money managers tends to be …

Persistent link: https://www.econbiz.de/10009645788

Estimating expectations of shocks using option prices

Cesare, Antonio Di - Banca d'Italia - 2004

The jump-diffusion model introduced by Merton is used to price a cross- section of options at different dates. At any point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and their informational content is compared with the widely...

Persistent link: https://www.econbiz.de/10005609384

The size of the equity premium

Fornari, Fabio - Banca d'Italia - 2002

Among the many controversial variables in finance, risk premia stand out for their lack of observability. Measuring premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about their size, which greatly depends on the length of the...

Persistent link: https://www.econbiz.de/10005113528

Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market

Guasoni, Paolo - Banca d'Italia - 2004

We study the problem of extracting the state price densities from the market prices of listed options. Adapting a model of Madan and Milne to a multiple expiration setting, we present an estimation method for the risk-neutral probability at a moving horizon of fixed length. With the exception of...

Persistent link: https://www.econbiz.de/10005113632

Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations

Fornari, Fabio; Mele, Antonio - Banca d'Italia - 2001

nature. Applications are carried out with regard to the futures written on the Italian 10-year bond. …

Persistent link: https://www.econbiz.de/10005113677