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The CAPM and the risk appetite index; theoretical differences and empirical similarities

Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2006

measure of risk aversion derived from the CAPM ï¿½ a model that does not require those restrictive assumptions ï¿½ we find … approximate the risk aversion parameter of a CAPM. This occurs if the ratio between the variance of the returns on assets and the …

Persistent link: https://www.econbiz.de/10005467316

The role of financial investments in agricultural commodity derivatives markets

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

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow ï¿½ rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

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

Estimating expectations of shocks using option prices

Cesare, Antonio Di - Banca d'Italia - 2004

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 used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

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

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

Real term structure and inflation compensation in the euro area

Pericoli, Marcello - Banca d'Italia - 2012

the period 2008-09 by an increase in the liquidity premium of index-linked bonds. …

Persistent link: https://www.econbiz.de/10009645794

Expected inflation and inflation risk premium in the euro area and in the United States

Pericoli, Marcello - Banca d'Italia - 2012

This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the...

Persistent link: https://www.econbiz.de/10009645795

Risk measures for autocorrelated hedge fund returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Banca d'Italia - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov(2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...

Persistent link: https://www.econbiz.de/10009364554

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

spreads have become much more sensitive to the level of leverage while volatility has lost its importance. Using a principal …

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

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

The Probability Density Function of Interest Rates Implied in the Price of Options

Fornari, Fabio; Violi, Roberto - Banca d'Italia - 1998

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional … distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility …

Persistent link: https://www.econbiz.de/10005111555