Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Michele Leonardo Bianchi"'
Autor:
Michele Leonardo Bianchi, Marco Rocco
Publikováno v:
Frontiers in Applied Mathematics and Statistics, Vol 2 (2016)
We propose a multi-factor Gaussian model to analyze the dynamicsof sovereign bond yields, as well as sovereign and banks CDS quotes. This paperhas three objectives (all of them with relevant implications from a supervisoryperspective): (1) disentangl
Externí odkaz:
https://doaj.org/article/bcd6d03d99284f778d1ff35104d98a09
Publikováno v:
International Journal of Forecasting. 39:391-404
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0595ca34b5c1ee4464c95d6def928850
https://doi.org/10.1016/j.ijforecast.2021.12.002
https://doi.org/10.1016/j.ijforecast.2021.12.002
Publikováno v:
Journal of Financial Services Research
We analyze the systemic risk of Italian banks with the ΔCoVaR from a bivariate normal GARCH model. The results show that it is a good measure of systemic risk and is applicable to the ranking of Italian other systemically important institutions. Usi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ae807c120c56fe1019cb6e0cb11ec3b
https://doi.org/10.1007/s10693-021-00366-9
https://doi.org/10.1007/s10693-021-00366-9
Publikováno v:
Annals of Operations Research.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9b2a59ab598de84373a5725e40ab4b1
https://doi.org/10.1007/s10479-022-04970-3
https://doi.org/10.1007/s10479-022-04970-3
Publikováno v:
Computational Management Science
In this paper, after a review of the most common financial strategies and products that insurance companies use to hedge catastrophic risks, we study an option pricing model based on processes with jumps where the catastrophic event is captured by a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e72c608a1b8ee7996496f2324c44997
http://europepmc.org/articles/PMC7969350
http://europepmc.org/articles/PMC7969350
Publikováno v:
The Journal of Portfolio Management. :jpm.2023.1.501
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eef5008763de970bb0e2579160c469ba
https://doi.org/10.3905/jpm.2023.1.501
https://doi.org/10.3905/jpm.2023.1.501
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 25:35-62
This paper studies the option valuation problem of non-Gaussian and asymmetric GARCH models from a state-space structure perspective. Assuming innovations following an infinitely divisible distribution, we apply different estimation methods including
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8d9f7dc53c23640fda46eb7a2b44fddd
https://doi.org/10.1515/snde-2019-0088
https://doi.org/10.1515/snde-2019-0088
Publikováno v:
Quantitative Finance. 20:1645-1661
In this study, we suggest a portfolio selection framework based on time series of stock log-returns, option-implied information, and multivariate non-Gaussian processes. We empirically assess a mul...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ea4eca46a753510e9e32dbc1d52160c
https://doi.org/10.1080/14697688.2020.1733057
https://doi.org/10.1080/14697688.2020.1733057
Publikováno v:
Computational Economics. 55:511-528
Recent literature has proposed a market-based measure to assess the contribution of a single bank to the systemic risk, i.e. the delta conditional value-at-risk ($$\Delta { CoVaR}$$). This measure could be useful to control the dynamics of systemic r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0e44372f13f4a38108a5c4d4e8fab115
https://doi.org/10.1007/s10614-019-09901-2
https://doi.org/10.1007/s10614-019-09901-2
