In the last few years, cyber risk has attracted increasing attention by researchers, regulators and business operators and has established itself as one of the major emerging risks. The COVID-19 crisis and the massive ...

This Thesis focuses on the Marginal Expected Shortfall (MES) and its application in Finance as early-warning reference. I will specify a logit model that allows to link MES to the conditional probability of financial ...

The main ambition of this work is to present the current dynamics of the US high yield corporate bond market, providing readers with a detailed analysis of the historical evolution of the market and the potential future ...

In this thesis I shall examine the characteristics of the volatility in the financial markets. In particular, the volatility is extrapolated both from the historical volatility by time series of past market prices and from ...

This study considers the model of Miranda-Agrippino and Rey (2020) implementing the framework of Plagborg-Moller and Wolf (2021), but with various Bayesian configurations. Specifically, we use a Bayesian Structural Vector ...

La tesi presenta tre studi di ricerca su temi bancari connessi ad alcuni eventi osservati durante la recente crisi bancaria dei mutui subprime. Il primo capitolo della tesi collega la creazione di liquidità del settore ...

Recent advances in empirical finance has seen a considerable amount of research in network econometrics for systemic risk analysis. The network approach aims to identify the key determinants of the structure and stability ...

In this thesis I present the multivariate Autoregressive Gamma process introduced by Le, Singleton and Dai (2010), a model founded on the univariate ARG first introduced in Gourieroux and Jasiak (2006). I discuss its ...

Il mio elaborato si basa sull’analisi del fenomeno della moneta digitale Bitcoin, che deriva da quattro macro aree culturali e tecniche come:crittografia, sistemi distribuiti, teoria dei giochi e teoria economica e monetaria. ...

La necessità di monitorare in modo tempestivo l’andamento dell’economia nell’eurozona è di fondamentale importanza per la politica economica. Per questo motivo è indispensabile la costruzione di modelli di previsione di ...