In this paper we develop a methodology for the study and the optimal design of the Italian medium, long-term Treasury securities. The aim is the determination of the optimal characteristics (coupon, maturity, etc.) of their future issues. Interest rate risk is examined in a way consistent with...

Classical methods for computing the value-at-risk(VaR) do not account for the large price variations observed in financial markets. The historical method is subject to event risk and may miss some fundamental market evolution relevant to VaR; the variance/covariance method tends to underestimate...