14/06/2016 Portfolio Allocation Asset Allocation under (one's own) Sovereign Default Risk The Greek drama of the late 2000s has returned sovereign risk awareness to centre stage.
6/06/2016 Portfolio Allocation Designing a corporate bond index on solvency criteria Doubts are rising whether bond indices, in the way they are constructed, are effective in their role of representing the markets they are designed for.
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.
