This paper analyzes structured products with a focus on the Swiss market. Empirical results for these products' five major categories are presented, along with case studies and a general discussion. The paper addresses three main questions: How did structured products perform in the period...

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo...

This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...

We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...