In: Journal of the European Economic Association, 2018, vol. 16, no. 2, p. 316-352
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In: Zeitschrift für die gesamte Versicherungswissenschaft, 2015, vol. 104, no. 1, p. 11-37
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Thèse de doctorat : Università della Svizzera italiana, 2021 ; 2021ECO004.
My dissertation consists of three chapters, each of which focuses on how institutional investors trade, impact price efficiency in secondary financial markets and influence the allocation of resources in the real economy. Using a novel approach based on hurricanes, the first chapter, Mutual Funds’ Fire Sales and the Real Economy: Evidence from Hurricanes, contributes to the recent debate on...
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In: The Cryosphere, 2020, vol. 14, no. 11, p. 3785-3810
Perennial snow, or firn, covers 80 % of the Greenland ice sheet and has the capacity to retain surface meltwater, influencing the ice sheet mass balance and contribution to sea-level rise. Multilayer firn models are traditionally used to simulate firn processes and estimate meltwater retention. We present, intercompare and evaluate outputs from nine firn models at four sites that represent...
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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 ; 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...
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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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In: Mathematics and Financial Economics, 2014, vol. 8, no. 1, p. 1-28
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