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Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Barigozzi, Matteo; Brownlees, Christian T.; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2010

When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propose a vector Multiplicative Error Model achieving a decomposition of each risk measure into a common systematic and an...

Persistent link: https://www.econbiz.de/10008606496

An Analysis on the Difference Between Bank Index-Linked Bonds’ Prices and Their Fair-Value (Un’Analisi Della Differenza Tra I Prezzi Delle Obbligazioni Bancarie Index-Linked E Il L...

Bianchi, Michele Leonardo - 2015

English Abstract: They can be seen as the sum of a bond and an option (derivative component). The work explores some of the issues for the evaluation of the theoretical value (or fair value) of this type of bonds, providing an order of magnitude of the difference between the issue price (gross...

Persistent link: https://www.econbiz.de/10013022831

Agenzie di rating e responsabilità civile : una soluzione "contrattuale"

Pacces, Alession M.; Romano, Alessandro; Troisi, E. Angela - In: Mercato concorrenza regole 16 (2014) 3, pp. 571-589

Persistent link: https://www.econbiz.de/10011303776

Italia Economia a Metà 2015 (Italy : Economy in Mid-2015)

Mazziero, Maurizio - 2015

Italian Abstract: Ricerca sulla situazione economica italiana basata sui dati economici ufficiali; vengono analizzati e confrontati con il passato il debito pubblico, le riserve ufficiali, il PIL, l'inflazione e la disoccupazione

Persistent link: https://www.econbiz.de/10013015362