Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO007.
The interaction of capital and risk is of primary interest in the corporate governance of banks as it links operational profitability and strategic risk management. Senior executives understand that their organization's monitoring system strongly affects the behaviour of managers and employees. Typical instruments used by senior executives to focus on strategy are balanced scorecards with...
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Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO001.
In this thesis, we develop a new econometric methodology to estimate the time-varying risk premia implied by conditional linear asset pricing models. In contrast to the classical approach, we estimate risk premia from a large dataset of returns of individual stocks instead of portfolios. The aim is to avoid the potential bias and loss of information implied by sorting and grouping stocks into...
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Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO002.
My thesis considers new latent factor models, and their estimation methodologies, suitable for settings relatively unexplored in the econometric literature as (i) a nonlinear model for the joint dynamics of a large cross-sectional distribution of asset returns, and the persistence of the ranks of the individuals inside it; (ii) approximate linear latent factor models for large panels of...
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