How does capital market access affect the capital structure decisions of firms? To examine this question, we compare the financing decisions of a large sample of private and public companies from 18 different European countries

In this paper we investigate the potential of Longevity-Linked Securities as a instruments to increase the risk-sharing and diversification of longevity risk by means of financial markets.

Can non-monetary positional goods in the form of orders of merit substitute for monetary compensation in providing incentives for Chief Executive Officers (CEOs)? this paper provides empirical evidence that positional goods can act as important incentive devices.

We identify the occurrence of contagion through international wholesale liquidity markets and through foreign bank ownership that occurred during the recent financial crisis.

We empirically examine the impact of ownership concentration on risk-taking in an international sample of large listed banking firms from 28 countries over the 2001-2008 period. We find a non-linear relationship between the fraction of shares held by the first shareholder and various risk measures (z-score, CDS spread, stock price volatility, residual volatility, and beta).

The existing empirical literature about mutual funds performance analysis is based on the use of datasets which contain an only partial report of the existing fund population. In pioneering studies, datasets based on funds existing at the time the study was written were the standard. This choice implied a possible survival bias, as the dataset did not contain data for funds which existed in the past but do not exist any more. If such demise or survival is correlated with performance, any analysis based on survived performance shall imply biased results. In response to this problem, databases producers, the like of CRSP, began the sistematic gathering on data on funds wich existed in the past but do not exist any more. The computation of performance statistics in such datasets has been said to correct for the survivorship bias problem. In this paper we show that such is not the case.

This study re-assesses the evidence and the practical relevance of long-horizon predictability of asset returns, investigating whether predictability patterns can be profitably exploited using relatively simple dynamic asset allocation strategies.

The Libor Market Model (LMM) is an advanced mathematical model used to price interest rate derivatives. Also known as the BGM model after its authors (Brace, Gatarek, Musiela, 1997), the LMM has become hegemonic in the financial markets worldwide. The LMM in reality is not a single model, but rather as a large family of models (Rebonato 2000, Brigo and Mercurio, 2006). Its many variants include: the number of factors considered, the type of volatility modelling used, the type of correlation modelling used, if stochastic volatility or SABR are used, if forward libor rates or swap rates are used, if semi-analytical or numerical solution methods are used, among others. The many faces of the LMM offer the disadvantage of making it difficult to understand for beginners. It also makes it difficult to clearly see what is the best version to use in practice. Our aim in this contribution will be to construct the simplest possible version of the LMM, implement it in C++ and investigate its accuracy to price real market-quoted interest rate derivatives. We consider three examples: a plain vanilla interest rate swap (IRS), and IRS with a CAP and an IRS with a CORRIDOR feature. Our results show that in these cases our implementation of the LMM1F captures quite well the market prices of these products, as compared with Bloomberg and Sungard Monis.

Organised by CAREFIN, Centro Baffi and CONSOB

La ricerca, realizzata da CAREFIN per la COVIP, è stata presentata nel corso del Salone del Risparmio 2013.

Questo seminario presenta i primi risultati di un progetto di ricerca relativo alle attività liquide Detenute dalle banche, facendone l'occasione per un ampio giro d'orizzonte sulle principali novità Regolamentari in via di definizione.