this theory have been increasingly employed in finance, especially in the context of risk measurement. The aim of the … different distributional assumptions for the data, Value-at-Risk and Expected Shortfall calculations, asset allocation under …Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say …

The paper presents a simple theory of intraday behavior in the interbank market. …

This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to … take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that … reflect liquidity stress in specific market segments, are aggregated in the systemic liquidity risk indicator in the same way …

microeconomic perspective. Section 5 considers how the recent developments in financial innovation and improvements in risk …

We examine the equity premium pizzle with the prespective of the theory of Rational Beliefs Equilibrium (RBE) and show … that from the perspective of this theory there is no puzzle. …