Proposta di corso nell’ambito del CdL Magistrale in Finance

Alessandri and Drehmann (2010) try to infer about a corporate view of risks including credit, market and liquidity risk, in that paper the authors derive an economic

Two main approaches to credit risk modeling, that differ, from a technical point of view, in the way default arrival, i.e. the time τ at which the default of a company occurs

Two main approaches to credit risk modeling, that differ, from a technical point of view, in the way default arrival, i.e. the time τ at which the default of a company occurs

2 To obtain an acceptable precision when using Monte-Carlo simulation to simulate default arrival it is necessary to use a large number

Credit risk is the risk associated to the default or to changes in the market value of a credit or of an asset held in a portfolio following a credit-linked event happening to

Italy’s universe of credit guarantee institutions tends to form a multi-pillar and multi-layer system based on a mix of private and public funding. It is not an outright

For each swap- tion, we report the price in basis points estimated with the Monte Carlo method, MC, the geometric lower bound, LB (G), the hyperplane approximation lower bound, LB

If we compare the effects of positive and negative news, in both cases the reaction of the stock prices is instantaneous, with the first significant response in the first