This work considers the problem of the estimation of Value at Risk contributions in a portfolio of credits. Each risk contribution is the conditional expected loss of an obligor, given a large loss of the full portfolio. This rare-event framework makes it difficult to obtain accurate and stable...

Several studies have highlighted the fact that heavy-tailedness of asset returns can be the consequence of conditional heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly, heavy tails. However, these models...

Every student who has studied at the University of Florence is supposed to fill in a questionnaire prepared by the interuniversity consortium "Almalaurea". This survey concerns the general quality of the college and makes it possible to express the level of satisfaction about many aspects of the...