The paper analyses the problem of evaluating a guarantee contract against default risk in which the guarantor party is defaultable and the default risks of the guarantor and of the borrower are correlated. This problem has several relevant applications within the present sovereign risk crisis....

The Proposal issued on September, 2009 by the Italian Ministry of Economy and Finance (MEF) for the regulation of derivatives that can be subscribed by Italian local Authorithies outlines the information that should be provided in the contracts in order to assure an approriate level of...

The object of this paper is to investigate the role of interest rate risk measures set out in an immunization theory framework for the control of the hedge effectiveness test, as specified in IAS 39. In particular, the case of a cash flow hedge is analyzed and attention is drawn to how the use...

I contratti del tipo Collar Swap con scadenza a lungo termine rappresentano una tipologia di contratti derivati che è stata oggetto, in questi ultimi anni, di numerose operazioni di finanza derivata da parte di enti locali italiani. Nel lavoro si studia, dal punto di vista tecnico, il problema...