Emerging countries tend to default when their economic conditions worsen. If bad times in an emerging country correspond to bad times for the US investor, then these foreign sovereign bonds are particularly risky and should offer high returns. We explore how this mechanism plays out in the data...

The risk of default of sovereign bonds in the Euro area significantly changed during the Eurozone debt crisis. Mutual funds specialized in Euro area government bonds invest exactly in these assets and constitute a large share of the financial portfolio of Italian households. Their performance is...

Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, large and interconnected financial institutions. In this paper we estimate the systemic risk contribution of each financial institution in a large sample of European banks....

type="main" <p>Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, interconnected financial institutions. In this paper, we estimate the systemic risk contribution of Italian-listed banks for the period 2000–2011. We follow a...</p>

I fondi obbligazionari governativi area Euro costituiscono una componente fondamentale del portafoglio Þnanziario delle famiglie italiane. In questa ricerca analizziamo le caratteristiche di questi fondi e la loro performance con particolare attenzione al periodo della crisi del 2007-2009....

Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, interconnected financial institutions. In this paper we estimate the systemic risk contribution of Italian listed banks for the period 2000-2011. We follow a methodology...

In this paper we use sovereign quanto-CDS spreads as proxy for redenomination-risk in the Eurozone, i.e., the risk of a sovereign default obtained by the redenomination of debt in a different currency. Quanto-CDS spreads are the difference between the CDS quotes in U.S. dollars and euros. We...

In this paper we use CoVaR to estimate the conditional tail-risk in the markets for bitcoin, ether, ripple and litecoin and find that these cryptocurrencies are highly exposed to tail-risk within cryptomarkets, while they are not exposed to tail-risk with respect to other global assets, like the...

Several countries have already introduced restrictions on trading of cryptocurrencies, and many more are evaluating whether to follow suit. We document an unprecedented drop in trading volume on the Chinese cryptocurrency market after a recent regulatory change by the Chinese authorities that...