In: Financial Markets and Portfolio Management, 2015, vol. 29, no. 1, p. 61-79
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In: Virchows Archiv, 2015, vol. 467, no. 5, p. 543-550
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO012.
This thesis contributes to the International Economics by considering how the openness of an economy and the linkages with other countries matter for the local economic growth. The first strength and the fil rouge of this study is the use of the economic complexity as a measure to identify the strategic sectors that generate larger spillovers and benefits to the economy. Secondly, the use of...
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Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO016.
This thesis explores the role of different measures of proximity on some topics related to international trade. We focus on how institutional setting (institutional proximity) and network structure (cognitive and social proximity) influence the geography of international trade. In the first chapter, we extend the results of Rose and Spiegel (2011) and the findings by Bista (2017) proposing a...
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This paper studies gender-based price discrimination in the annuity market. The dataset consists of transaction-level data on the universe of individuals accessing the Chilean annuity market in the 2004-2017 period. It exploits the fact that, in Chile, individuals can access the annuity market through three different channels: an independent financial advisor, a sales agent at a company, or...
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.
My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...
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In: Energies, 2017, vol. 10, no. 2, p. 199
The Smart Meter (SM) is an essential tool for successful balancing the demand-offer energy curve. It allows the linking of the consumption and production measurements with the time information and the customer’s identity, enabling the substitution of flat-price billing with smarter solutions, such as Time-of-Use or Real-Time Pricing. In addition to sending data to the energy operators for...
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In: Journal of risk and financial management, 2016, vol. 9, no. 1, p. 2
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very...
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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...
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