In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the usual market-risk measure, ie, Value-at-Risk (VaR) at a...

Estimating the Credit Valuation Adjustment (CVA) for unlisted companies is a challenging issue since the risk neutral default probability cannot be estimated either from CDS par spread or from equity stock. This work proposes a calibration method that easily estimates the market risk premium...

The estimate of a Multiperiod probability of default applied to residential mortgages can be obtained using the mean of the observed default, so called the Mean of ratios estimator, or aggregating the default and the issued mortgages and computing the ratio of their sum, that is the Ratio of...

Credibility theory provides tools to obtain better estimates by combining individual data with sample information. We apply the Credibility theory to a Uniform distribution that is used in testing the reliability of forecasting an interest rate for long term horizons. Such empirical exercise is...

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle...

The issue of sustainability of Italian fiscal policy in the period 1970-2006 is studied with two instruments: indicators and tests. The indicators Primary Gap, Tax Gap developed by Chouraqui et al. (1990) and S2 by the European Commission show a nonsustainable fiscal policy. Tests of...