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Euro bonds : markets, infrastructure and trends / / Marida Bertocchi, University of Bergamo, Italy, Giorgio Consigli, University of Bergamo, Italy, Rita D'Ecclesia University of Sapienza, Rome, Italy, Rosella Giacometti, University of Bergamo, Italy, Vittorio Moriggia University of Bergamo, Italy, Sergio Ortobelli, University of Bergamo, Italy
| Euro bonds : markets, infrastructure and trends / / Marida Bertocchi, University of Bergamo, Italy, Giorgio Consigli, University of Bergamo, Italy, Rita D'Ecclesia University of Sapienza, Rome, Italy, Rosella Giacometti, University of Bergamo, Italy, Vittorio Moriggia University of Bergamo, Italy, Sergio Ortobelli, University of Bergamo, Italy |
| Autore | Bertocchi Marida |
| Pubbl/distr/stampa | New Jersey : , : World Scientific, , [2014] |
| Descrizione fisica | 1 online resource (xvii, 259 pages) : illustrations (some color), maps |
| Disciplina | 332.63/23094 |
| Collana | World Scientific series in finance |
| Soggetto topico | Euro-bond market |
| ISBN | 981-4440-16-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Foreword; Preface; Acknowledgments; Author Biographies; Contents; List of Figures; List of Tables; 1. The Bond Market in Europe; 1.1 Introduction; 1.2 History and Development; 1.3 The Main Features of Euro Bonds; 1.4 Government Bonds; 1.5 Corporate Bonds; 1.6 The 2008 Financial Crisis; 1.7 The European Union Bond; Appendix 1.A. The Major European Bond Markets; Glossary; References; 2. The Market Infrastructure; 2.1 Introduction; 2.2 The Retail Markets; 2.3 The Electronic Markets; 2.4 The Clearing and Settlement System; 2.4.1 Post trading costs; 2.4.2 The current market infrastructure
2.5 The Role of Custodians 2.5.1 The Central Securities Depositories; Glossary; References; 3. Government Bond Markets; 3.1 Introduction; 3.2 The Euro Sovereign Bond Market Evolution; 3.3 Country Risk; 3.4 Bond Spread Dynamics Country-specific Risk; 3.5 Fixed-income Markets and Financial Risk Premia; 3.6 Sovereign Risk and ECB Policy; Glossary; References; 4. The Corporate Bond Market; 4.1 Introduction; 4.2 Recent Evolution; 4.3 Euro-corporate Bond Indices; 4.3.1 Bond indices and default probabilities; 4.4 Moody's 2011 Global Credit Report; Glossary; References; 5. Credit Rating Agencies 5.1 Introduction 5.2 The CRAs; 5.2.1 The role of CRAs; 5.2.2 Credit ratings; 5.2.3 Taxonomy of rating; 5.3 Regulation of CRAs; 5.3.1 Conflicts of interest; 5.4 The Importance of Competition; 5.5 Rating Methodologies; 5.5.1 General principles of the rating process; 5.5.1.1 Private firm credit rating; 5.5.1.2 Government credit rating; 5.5.1.3 Other organization credit rating; 5.5.2 Input factors for the rating process; 5.5.3 Grading process for the rating agencies; 5.5.4 Rating announcement; Glossary; References; 6. Securitization Market; 6.1 Introduction; 6.2 Asset Classes 6.3 The Securitization Process 6.4 Rationale for Securitization; 6.5 The Market Evolution; Glossary; References; 7. Market Bond Products; 7.1 The Covered Bond Market; 7.1.1 Introduction; 7.1.2 Basic features; 7.1.3 Market evolution; 7.1.4 Primary market; 7.1.5 Secondary market; 7.1.6 Covered bonds in the sovereign debt crisis; 7.2 Inflation-Linked Bonds; 7.2.1 Introduction; 7.2.2 The development; 7.2.3 The role of ILBs; 7.2.4 ILBs and monetary policy; 7.2.4.1 Real term structure and ination risk premia; 7.2.5 Portfolio selection with ILBs; 7.2.5.1 Portfolio selection with sovereign ILBs 7.2.5.2 Portfolio selection with sovereign nominal bonds 7.3 Bond Exchange Traded Funds; 7.3.1 Introduction; 7.3.2 The development; 7.3.3 Basic features; 7.3.4 Tracking errors and performance; 7.3.5 Portfolio selection with BETFs; 7.3.5.1 BETF portfolio selection in the Euro area; Appendix 7.A. Risk and Reward of Bond Portfolios; Appendix 7.B. Two Approaches for ILBs Portfolio Selection; Appendix 7.C. Two Approaches for BETFs Portfolio Selection; Glossary; References; 8. Credit Derivatives Market; 8.1 Introduction; 8.2 The CDS Market; 8.2.1 The single-name CDS 8.2.2 CDS as a measure of credit risk |
| Record Nr. | UNINA-9910790870403321 |
Bertocchi Marida
|
||
| New Jersey : , : World Scientific, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Euro bonds : markets, infrastructure and trends / / Marida Bertocchi, University of Bergamo, Italy, Giorgio Consigli, University of Bergamo, Italy, Rita D'Ecclesia University of Sapienza, Rome, Italy, Rosella Giacometti, University of Bergamo, Italy, Vittorio Moriggia University of Bergamo, Italy, Sergio Ortobelli, University of Bergamo, Italy
| Euro bonds : markets, infrastructure and trends / / Marida Bertocchi, University of Bergamo, Italy, Giorgio Consigli, University of Bergamo, Italy, Rita D'Ecclesia University of Sapienza, Rome, Italy, Rosella Giacometti, University of Bergamo, Italy, Vittorio Moriggia University of Bergamo, Italy, Sergio Ortobelli, University of Bergamo, Italy |
| Autore | Bertocchi Marida |
| Pubbl/distr/stampa | New Jersey : , : World Scientific, , [2014] |
| Descrizione fisica | 1 online resource (xvii, 259 pages) : illustrations (some color), maps |
| Disciplina | 332.63/23094 |
| Collana | World Scientific series in finance |
| Soggetto topico | Euro-bond market |
| ISBN | 981-4440-16-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Foreword; Preface; Acknowledgments; Author Biographies; Contents; List of Figures; List of Tables; 1. The Bond Market in Europe; 1.1 Introduction; 1.2 History and Development; 1.3 The Main Features of Euro Bonds; 1.4 Government Bonds; 1.5 Corporate Bonds; 1.6 The 2008 Financial Crisis; 1.7 The European Union Bond; Appendix 1.A. The Major European Bond Markets; Glossary; References; 2. The Market Infrastructure; 2.1 Introduction; 2.2 The Retail Markets; 2.3 The Electronic Markets; 2.4 The Clearing and Settlement System; 2.4.1 Post trading costs; 2.4.2 The current market infrastructure
2.5 The Role of Custodians 2.5.1 The Central Securities Depositories; Glossary; References; 3. Government Bond Markets; 3.1 Introduction; 3.2 The Euro Sovereign Bond Market Evolution; 3.3 Country Risk; 3.4 Bond Spread Dynamics Country-specific Risk; 3.5 Fixed-income Markets and Financial Risk Premia; 3.6 Sovereign Risk and ECB Policy; Glossary; References; 4. The Corporate Bond Market; 4.1 Introduction; 4.2 Recent Evolution; 4.3 Euro-corporate Bond Indices; 4.3.1 Bond indices and default probabilities; 4.4 Moody's 2011 Global Credit Report; Glossary; References; 5. Credit Rating Agencies 5.1 Introduction 5.2 The CRAs; 5.2.1 The role of CRAs; 5.2.2 Credit ratings; 5.2.3 Taxonomy of rating; 5.3 Regulation of CRAs; 5.3.1 Conflicts of interest; 5.4 The Importance of Competition; 5.5 Rating Methodologies; 5.5.1 General principles of the rating process; 5.5.1.1 Private firm credit rating; 5.5.1.2 Government credit rating; 5.5.1.3 Other organization credit rating; 5.5.2 Input factors for the rating process; 5.5.3 Grading process for the rating agencies; 5.5.4 Rating announcement; Glossary; References; 6. Securitization Market; 6.1 Introduction; 6.2 Asset Classes 6.3 The Securitization Process 6.4 Rationale for Securitization; 6.5 The Market Evolution; Glossary; References; 7. Market Bond Products; 7.1 The Covered Bond Market; 7.1.1 Introduction; 7.1.2 Basic features; 7.1.3 Market evolution; 7.1.4 Primary market; 7.1.5 Secondary market; 7.1.6 Covered bonds in the sovereign debt crisis; 7.2 Inflation-Linked Bonds; 7.2.1 Introduction; 7.2.2 The development; 7.2.3 The role of ILBs; 7.2.4 ILBs and monetary policy; 7.2.4.1 Real term structure and ination risk premia; 7.2.5 Portfolio selection with ILBs; 7.2.5.1 Portfolio selection with sovereign ILBs 7.2.5.2 Portfolio selection with sovereign nominal bonds 7.3 Bond Exchange Traded Funds; 7.3.1 Introduction; 7.3.2 The development; 7.3.3 Basic features; 7.3.4 Tracking errors and performance; 7.3.5 Portfolio selection with BETFs; 7.3.5.1 BETF portfolio selection in the Euro area; Appendix 7.A. Risk and Reward of Bond Portfolios; Appendix 7.B. Two Approaches for ILBs Portfolio Selection; Appendix 7.C. Two Approaches for BETFs Portfolio Selection; Glossary; References; 8. Credit Derivatives Market; 8.1 Introduction; 8.2 The CDS Market; 8.2.1 The single-name CDS 8.2.2 CDS as a measure of credit risk |
| Record Nr. | UNINA-9910812656503321 |
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Bertocchi Marida
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| New Jersey : , : World Scientific, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook of Recent Advances in Commodity and Financial Modeling [[electronic resource] ] : Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets / / edited by Giorgio Consigli, Silvana Stefani, Giovanni Zambruno
| Handbook of Recent Advances in Commodity and Financial Modeling [[electronic resource] ] : Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets / / edited by Giorgio Consigli, Silvana Stefani, Giovanni Zambruno |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | 1 online resource (XIV, 320 p. 65 illus., 59 illus. in color.) |
| Disciplina | 332.644 |
| Collana | International Series in Operations Research & Management Science |
| Soggetto topico |
Operations research
Decision making Macroeconomics Management science Operations Research/Decision Theory Macroeconomics/Monetary Economics//Financial Economics Operations Research, Management Science |
| ISBN | 3-319-61320-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part 1. Risk Modeling -- 1. Directional Returns for Gold and Silver: A Cluster Analysis Approach.- 2. Impact of Credit Risk and Business Cycles on Momentum Returns.- 3. Drivers of LBO Operating Performance: An Empirical Investigation in Asia -- 4. Time varying Correlation: Key Indicator in Finance -- 5. Measuring Model Risk in the European Energy Exchange -- 6. Wine Futures: Pricing and Allocation as Levers against Quality Uncertainty -- 7. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time -- 8. Optimal Adaptive Sequential Calibration of Option Models -- 9. Accurate Pricing of Swaptions via Lower Bound -- 10. Portfolio Optimization Using Modied Herfindahl Constraint -- 11. Dynamic Asset Allocation with Default and Systemic Risks -- 12. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact -- 13. Optimal Multistage Dened-benet Pension Fund Management -- 14. Currency Hedging for a Multi-national Firm. |
| Record Nr. | UNINA-9910298201103321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Optimal Financial Decision Making under Uncertainty [[electronic resource] /] / edited by Giorgio Consigli, Daniel Kuhn, Paolo Brandimarte
| Optimal Financial Decision Making under Uncertainty [[electronic resource] /] / edited by Giorgio Consigli, Daniel Kuhn, Paolo Brandimarte |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (XIX, 298 p. 49 illus., 39 illus. in color.) |
| Disciplina | 658.40301 |
| Collana | International Series in Operations Research & Management Science |
| Soggetto topico |
Operations research
Decision making Macroeconomics Mathematical optimization Operations Research/Decision Theory Macroeconomics/Monetary Economics//Financial Economics Optimization |
| ISBN | 3-319-41613-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Multi-period Risk Measures and Optimal Investment Policies -- Asset Price Dynamics: Shocks and Regimes -- Scenario Optimization Methods in Portfolio Analysis and Design -- Robust Approaches to Pension Fund Asset Liability Management under Uncertainty -- Liability-driven Investment in Longevity Risk Management -- Pricing Multiple Exercise American Options by Linear Programming -- Optimizing a Portfolio of Liquid and Illiquid Assets -- Stabilization Implementable Decisions in Dynamic Stochastic Programming -- The Growth Optimal Investment Strategy is Secure, Too -- Heuristics for Portfolio Selection -- Optimal Financial Decision Making under Uncertainty. . |
| Record Nr. | UNINA-9910136019603321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||