The increasing use of internal market models for market risk assessment and management promotes, in compliance with Basel II, better risk management practices but introduces at the same time the so called model risk. In the light of the many open issues connected to market risk, the aim of this...

The solution adopted in Basel II to deal with procyclicality of capital requirements (i.e. through the cycle ratings and long-run average estimates of default probabilities) implies a reduction in the risk-sensitivity that contradicts the original spirit of the new framework.In order to preserve...

Nel presente lavoro viene descritta la disciplina spagnola in materia di licenziamento, come modificata a seguito delle riforme succedutesi tra il 2010 e il 2012, nel pieno della crisi economica. L’analisi, condotta dal punto di vista giuridico, si concentrerà sul passaggio da un sistema...

Financial constraints are particularly severe for R&D projects of SMEs, which cannot generally rely on equity markets and, in the EU, on a sufficiently developed VC industry. If innovative SMEs have to depend on banks to finance their R&D projects, it is particularly important to develop models...

This paper compares two types of volatility models for returns, ARCH-type and stochastic volatility (SV) models, both from a theoretical and an empirical point of view. In particular a GARCH(1,1) model, an EGARCH(1,1) model and a log-normal AR(1) stochastic volatility model are considered. The...