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Italian Abstract: Presentiamo un modello stocastico multivariato, per sviluppare stress test finalizzati a valutare l'adeguatezza patrimoniale delle banche e il loro grado di fragilità finanziaria. L'articolo fornisce una descrizione teorica del metodo e delle caratteristiche essenziali del...
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Standard theoretical model cannot generate positive and large real bond risk premium under power utility preferences …. Following recent developments in equity premium literature we explore bond premium in a long run risk environment with …
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