The financial system in the Kingdom of Saudi Arabia (KSA) has a history of relative soundness, particularly in banking, due to comparatively strict and enforced domestic supervision, and supported by what has been for the most part a reasonably robust economy. However, the sector is facing...

Italian abstract: Lo scopo principale di questo lavoro è illustrare alcuni utili strumenti per stimare la perdita massima di un portafoglio dovuta ai rischi di credito e di controparte. La crisi finanziaria del 2007/2008 ha evidenziato, tra le altre cose, una inadeguata comprensione e gestione...

This paper, written with the intention of formulating a macroeconomic model of trade cycles - following Kaldor's approach - explains the fluctuations of economic systems by using some numerical instruments. The reason for choosing a chaotic model will become clear as will the implications which...

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero...

Italian Abstract: Questo elaborato si propone il compito di applicare uno dei più noti modelli di asset pricing – il CAPM – ad un concreto caso di creazione di un portafoglio e di confrontarlo con un ipotetico portafoglio di mercato attraverso l'uso di numerosi indicatori finanziari che...

The objective of this paper is to provide a quick overview on Exchange-Traded Products (i.e. on ETFs, ETNs, ETCs and ETVs) but above all on their risk (especially with regards to synthetic products) and mitigations

Business cycles are oscillations in economy because of recessions and expansions. In this paper we investigate the oscillation of the Gross Domestic Product (GDP) as a result of its relations with the other main macroeconomic variables such as capital, consumption and investment. There is a...

Although uncertainty is one of the oldest and most substantial parts of economic theory, there is still no consensus among economists on what uncertainty is. The key aspects are the ”under-socialized” versus ”oversocialized” approach, rationality and the alleged contrast between...

Questo lavoro si propone il compito di illustrare le implicazioni relative in particolare riguardo stabilità e crescita. Le ragioni dell'unione sono da ricercare nei fattori politici tendenti ad evitare il ripetersi di una guerra mondiale argomento verso il quale le ceneri dell'Europa rendeva...