The purpose of this paper is to apply the results of Brandolini D. – Colucci S. “Backtesting Value-at-Risk: A comparison between Filtered Bootstrap and Historical Simulation” in order to extend the VaR estimation also in a bond universe and particularly in order to estimate sovereign risk....

Faber's 'A Quantitative Approach to Tactical Asset Allocation' (2009) proposes the use of a very simple trading rule to improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and simple quantitative risk based portfolio management...

The article concerns the differences between the meaning of risk management in a bank and in an asset management company, and then it illustrates the solution found to the challenge of building up a risk management system in an Italian medium size company.We describe the specific needs of an...

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a conservative portfolio several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came up, that is...

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a portfolio on a quantitative basis, several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came...