Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Patrizia Stucchi"'
This paper focuses on the risk-return profile of the asset-backed securities deriving from the securitization of non-performing loans (NPLs). We test several hypotheses concerning the portfolio sell price, tranche note size and use of a public guaran
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8d3f719cf0732cbb8d7d52158658992b
http://hdl.handle.net/11390/1173710
http://hdl.handle.net/11390/1173710
Autor:
Patrizia Stucchi, Giorgio Dominese
Publikováno v:
International Journal of Euro-Mediterranean Studies. 5:25-40
A set of regional and country’s equity indices have been evaluated and analysed in their Value at Risk (VaR) and Conditional Value at Risk (CVaR) in this paper, using computational methods based on the Johnson systems. Comparing the main statistics
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::918553bc982c0575c17b047f783b4dd3
https://doi.org/10.1007/s40321-012-0005-5
https://doi.org/10.1007/s40321-012-0005-5
Autor:
Patrizia Stucchi
Most methods of performance evaluation and most allocation strategies are based on tracking error, that is the excess return of the managed portfolio with respect to the benchmark return. Analysis of the tracking error in a mean-variance framework ha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8dd2b086edb2e9a7614bef47d5216583
http://hdl.handle.net/11390/1027947
http://hdl.handle.net/11390/1027947
Autor:
Patrizia Stucchi, Flavio Pressacco
Publikováno v:
Decisions in Economics and Finance. 20:169-185
Facendo ricorso all’introduzione di una opportuna condizione di sincronia fra due coppie di tassi (i, j), esterna, e (i*, j*), interna, si dimostra che condizione necessaria e sufficiente per la validita finanziaria di una estensione hidimensionale
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48a21ada9bf397bba327a57f09e3047a
https://doi.org/10.1007/bf02729000
https://doi.org/10.1007/bf02729000
Publikováno v:
Applied Mathematical Finance. 3:269-394
In a sinking-fund bond, the issuer is required to retire portions of the bond prior to maturity, with the option of doing so either by calling the bonds by lottery, or by buying them back at their market value. This paper discusses the valuation of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a566c6080a3f38bb3d2ef2db613dd71a
https://doi.org/10.1080/13504869600000013
https://doi.org/10.1080/13504869600000013
Autor:
Patrizia Stucchi
Publikováno v:
SSRN Electronic Journal.
The evaluation of quantiles (or VaR, Value at Risk) and that of CVaR, Conditional Value at Risk in risk management (or mean excess in actuarial sciences) is a very crucial point in the decision processes. Indeed, there are often great difficulties (o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::650b00ebd28c26daa1d571b2eb3eaec7
https://doi.org/10.2139/ssrn.1855986
https://doi.org/10.2139/ssrn.1855986
Publikováno v:
SSRN Electronic Journal.
Discounted cash flows methods such as Net Present Value and Internal Rate of Return are often used interchangeably or even together for assessing value creation in industrial and engineering projects. Notwithstanding its difficulties of applicability
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e80159d55066d23d67d6ccb65345def8
https://doi.org/10.2139/ssrn.1800348
https://doi.org/10.2139/ssrn.1800348
Autor:
Flavio Pressacco, Patrizia Stucchi
We claim here that a practical way to create synthetic portfolio insurance on the Italian stock market index (not currently traded) should be to select a portfolio of a small number of Italian blue chips properly composed so as to be a good proxy of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78a05883481c417b2a3a3482112528a0
http://hdl.handle.net/11390/879974
http://hdl.handle.net/11390/879974