Credibility theory provides tools to obtain better estimates by combining individual data with sample information. We apply the Credibility theory to a Uniform distribution that is used in testing the reliability of forecasting an interest rate for long term horizons. Such empirical exercise is...

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle...

The issue of sustainability of Italian fiscal policy in the period 1970-2006 is studied with two instruments: indicators and tests. The indicators Primary Gap, Tax Gap developed by Chouraqui et al. (1990) and S2 by the European Commission show a nonsustainable fiscal policy. Tests of...

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle...

Estimating the Credit Valuation Adjustment (CVA) for unlisted companies is a challenging issue since the risk neutral default probability cannot be estimated either from CDS par spread or from equity stock. This work proposes a calibration method that easily estimates the market risk premium...

This work presents a theoretical and empirical evaluation of the Anderson-Darling test when the sample size is limited. The test can be applied in order to back-test the risk factor dynamics in the context of counterparty credit risk modelling. We show the limits of this test when back-testing...