Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO015.
We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a world with CoCos and policy rates approaching zero or negative figures. In our model, the bank objective...
|
Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO004.
In this thesis I have tried to identify the risks and opportunities crude oil market offers. For this purpose I tested the performance of univariate and multivariate GARCH models. The first part of the work describes univariate GARCH models and their application to commodities markets. Physical ownership of the commodity carries an associated flow of services. The net flow of these services per...
|
Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO007.
Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fill this gap. We show how fear and sentiment are specular in their predictive power in relation to the aggregate market and to...
|
Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO001.
This thesis is made of three articles dealing with two main subjects: the so called "Kernel Puzzle" and the problem of immunization of portfolio of treasury and corporate bonds. For the first topic, we provide a new method to derive the state price density per unit probability based on option prices and GARCH model. We derive the risk neutral distribution using the result in Breeden and...
|
Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO011.
This thesis sets out to investigate whether the anti-money laundering (AML) compliance duties have been integrated into the banking culture. The first two chapters briefly present the Swiss AML framework and relevant numbers. Using survey data from 52 respondents, Chapter 3 presents evidence on how banks coped with compliance requests, starting from the internal due diligence and reporting...
|
Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO008.
Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors’ trades may infact produce a price impact that can adversely influence their investment decisions....
|
Thèse de doctorat : Università della Svizzera italiana, 2007 ; 2007ECO006.
In Switzerland, relatively little effort has been put into assessing the role and potential of market information and market discipline in banking regulation and supervision. This thesis represents the first attempt to address the issue in a comprehensive way. The first two papers explore to what degree the market disciplines Swiss banks, both directly and indirectly. The empirical results...
|
Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO004.
This study develops new realized volatility and correlation estimators which, while fully exploiting all the available information contained in tick-by-tick data, effectively correct for the bias induced by microstructure effects. Building on such high frequency measures, it also proposes new conditional volatility models able to provide accurate and easy-to-implement volatility forecasts.
|
Thèse de doctorat : Università della Svizzera italiana, 2006 ; 2006ECO001.
Modern financial portfolio management problems as well as asset/liability problems use stochastic optimization to allocate financial assets. To implement and solve such a stochastic optimization based portfolio allocation problem, we require scenario trees for the description of the future market evolutions of every random variable present in the model. This thesis proposes a general algorithm to...
|
Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO007.
We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and B-rated corporate bonds in a doubly- stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables – indicators of real activity, inflation and financial conditions – as well as latent factors, as drivers of term structure dynamics. Our results...
|
