Depending tactical asset allocation upon the forecasting model choice, it is often discussed the existence of a time diversification opportunity. We focus the analysis on MSCI and JPMorgan benchmarks for equity and fixed income market in Italy, Switzerland, UK, Europe, USA, Japan, and Far East....

In asset allocation processes the estimation of standard deviations is often measured with error. As a result, the risk adjusted return ratios will be subject to estimation error. Since risk estimation is crucial in investment decisions, several risk measures have been suggested to take into...

This research focuses on the advancement of the Compliance function within banks, investment and insurance companies and on the effect of applying Community regulations as called for by the MiFID Directive. Eighty four financial intermediaries: banks, investment companies and insurance companies...

The paper presents a model to estimate qualitative variables to estimate credit spreads. The main purpose of our study was to price loans and verify whether interest rates depend on credit portfolio weights, applying a reverse engineering process. In particular, loans may be priced from credit...

The misestimation of rating transition probabilities may lead banks to lend money incoherently with borrowers’ default trajectory, causing both a deterioration in asset quality and higher system distress. Applying a Mover-Stayer model to determine the migration risk of small and medium...