18/05/2016 Sustainable Finance Which lever can enhance sustainability ? This paper aims to investigate Emerging Market Countries’ sustainability issues, looking at the impact of two specific policies aiming to improve the...
25/06/2015 Asset Pricing & Behavioural Finance Global Excess Liquidity and Asset Prices in Emerging Markets...
25/06/2015 Portfolio Allocation The asset- and mortgage-backed securities market in Europe How do European asset- and mortgage-backed securities fare today five years after the 2008 crisis they have been incriminated in?
14/01/2015 Asset Pricing & Behavioural Finance Option Pricing under Skewness and Kurtosis using a Cornish F... This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.
16/12/2014 Asset Pricing & Behavioural Finance Modelling Tail Risk in a Continuous Space Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.
1/12/2014 Portfolio Allocation Portfolio Capital Flows: A Simple Coincident Indicator for E... The scarcity of up-to-date data is a meaningful constraint in the analysis of capital flows, especially for Emerging Markets.
3/11/2014 Portfolio Allocation The art of tracking corporate bond portfolios The corporate bond indices, built by market index providers to serve as investment benchmarks, contain a great many securities, and are for that reason...