This paper, which follows up the analyses of an earlier study published in December 1988, starts by updating the description of the regulatory framework for Italian stock options (premium contracts), with reference both to the regulations issued by the Consob (the Italian SEC) and the changes in...

This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989. The resulting term structures of interest rates are compared with those obtained using...

The Italian Treasury's puttable bonds (Certificati del Tesoro con opzione di rimborso anticipato - CTOs) are the first example in Italy of retractable/extendible bonds, which have been used on the Canadian market for some time and recently been adopted on the Euromarket. In this paper the...

Despite their growing importance on Italian stock exchanges, premium contracts have not received very much attention in analytical studies. This paper starts with a description of the working of the market for premium contracts with the aim of highlighting its institutional peculiarities...

The Basle Committee is seeking to amend the 1988 Accord by introducing a new capital adequacy framework for credit institutions. The proposals, put forward in a consultative paper issued in June 1999 (A New Adequacy Framework), have been submitted for comments to the international banking...

On January 29th, 1997, an historical date for the U.S. Treasury, the first inflation-indexed Treasury notes, for a nominal value of 7 billion of dollars, have been auctioned. These securities are also called Tips (Treasury inflation-protected securities). Subsequently, the Chicago Board of Trade...

More than €30 billion in assets under management are pegged to the EURO STOXX 50 Index, making it the most important European equity benchmark measured by assets. In this paper we replicate the EURO STOXX 50 Index on the basis of public information.After revising the methodological issues of...

This paper describes a possible approach for determining the Value at Risk (VaR) of a generic portfolio whose value changes depend on the variable conditions of financial markets. After reviewing some specific problems relative to the calculation of VaR, three examples are presented: The first...

In this paper we analyze the problem of determining standby underwriting fees within the framework of option-pricing theory. Financial institutions that provide standby underwriting for a stock placement bear the risk of having to buy unplaced stocks if the offered quantity is not completely...

According to the prescriptions of the Basle Committee on Banking Supervision, as from the end of 1997, or earlier if their supervisory authority so prescribes, banks will be required to measure and apply capital requirements in respect of their market risks in addition to their credit risks. The...