Università della Svizzera italiana

Essays on credit risk

Borghi, Matteo ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO005.

The work investigates two major topics: the presence of a systematic and an idiosyncratic component in CDS spreads and the credit spread puzzle. We verify that a systematic factor is priced in the cross-section of CDS returns. We also notice that the systematic component of risk increases after the financial crisis. We finally verify that the fraction of systematic risk is not the same in...

Università della Svizzera italiana

Essays on the valuation and hedging of derivative securities

Dall'O, Hakim ; Barone Adesi, Giovanni (Dir.)

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...

Università della Svizzera italiana

Statistical analysis for credit risk modelling

Tenconi, Paolo ; Mira, Antonietta (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO008.

The main purpose of the thesis is the prediction of default events for small and medium size companies, by developing useful techniques able to cope with some issues related to anomalies often present in this kind of data, such as rare events and aberrant observations. To treat rare events the Bayesian paradigm is used through Markov Chain Monte Carlo techniques, also adopting the zero...

Università della Svizzera italiana

Constrained nonparametric dependence with application in finance

Gagliardini, Patrick ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO002.

The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of...