Being still in its early stages, operational risk modeling has, so far, mainly been concentrated on the marginal distributions of frequencies and severities within the context of the Loss Distribution Approach (LDA). A realistic quantitative model, however, should be capable of modeling the...

Exploiting a unique opportunity offered by the Italian private equity (PE) market, we examine the hitherto largely unexplored internal rate of return (IRR) of PE investments. Our database covers the entire universe of transactions sponsored by Italian PE investors in Italy up to 2007 and offers...

In this paper, we analyze the effect of loads on the relationship between mutual fund performance and investment flows. Using a sample of US domestic non-industry-specific mutual funds from 1993 to 2006, we show that the presence of front loads increases the sensitivity of fund flows to less...

We consider the problem of finding the optimal annuitization time in the decumulation phase of a defined contribution pension scheme, exploiting the model of Gerrard, Højgaard and Vigna (2010). We make extensive numerical investigations on the optimal annuitization time, size of final annuity...

In this paper, I analyze re-pricing decisions for mutual fund management services. I derive measures of performance and price sensitivity and show that investors do not consider expense ratios simply as a negative component of expected returns: while performance sensitivity monotonically...

We analyze the use of derivatives in Italian equity mutual funds from December 2002 to May 2007. We find that the average asset allocation in derivatives increased considerably during this time frame, roughly coinciding with the harmonization of Italian regulation of mutual funds to European...

We contribute a new insight into the pre-crisis massive levered exposures to default risk by formulating a parsimonious, closed-form analysis of conspicuous risk taking in default-prone assets. Under no arbitrage, default risk is compensated by an ‘yield pickup' that can strongly attract...

In this paper we analyze the relative importance of country and industry pure factors on the cross-section of stock returns. We show that, although the supremacy of industry factors, reported in a number of recent studies, is due to a time sample bias related to the so-called quot;technology...

We analyze the persistence of the ability of hedge fund managers. Using a database of 3627 hedge funds from 1994 to 2005 we demonstrate that the ability does not persist for top performers once the strategy of the fund is correctly assessed. Manager ability is defined as the difference between...