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...
21/10/2014 Sustainable Finance Do Social Responsibility Screens Really Matter? A Comparison... On average, socially responsible (SR) funds have showed statistically similar performances to traditional funds. Does this mean SR screens make a negligible...
28/11/2013 Portfolio Allocation Optimal Asset Allocation for Sovereign Wealth Funds: Theory ... This paper addresses management of sovereign wealth from the perspective of the theory of contingent claims.
15/08/2013 Asset Pricing & Behavioural Finance A Tale of Two Eurozones: Banks's Funding, Sovereign Risk & U... The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign...
15/06/2013 Portfolio Allocation Sovereign Wealth and Risk Management - A New Framework for O... This paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied...