Search Results - "Vanini, P."

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    A simple model of credit contagion by Egloff, Daniel, Leippold, Markus, Vanini, Paolo

    Published in Journal of banking & finance (01-08-2007)
    “…We propose a simple model of credit contagion in which we include macro- and microstructural interdependencies among the debtors within a credit portfolio. The…”
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    Journal Article
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    A geometric approach to multiperiod mean variance optimization of assets and liabilities by Leippold, Markus, Trojani, Fabio, Vanini, Paolo

    Published in Journal of economic dynamics & control (01-03-2004)
    “…We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the…”
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    Journal Article
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    Equilibrium impact of value-at-risk regulation by Leippold, Markus, Trojani, Fabio, Vanini, Paolo

    Published in Journal of economic dynamics & control (01-08-2006)
    “…We study the asset-pricing implications of value-at-risk (VaR) regulation in incomplete continuous-time economies with intermediate expenditure, stochastic…”
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    Journal Article
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    Property Derivatives and Index-Linked Mortgages by Syz, Juerg, Vanini, Paolo, Salvi, Marco

    “…Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, J. Real…”
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    Optimal credit limit management under different information regimes by Leippold, Markus, Vanini, Paolo, Ebnoether, Silvan

    Published in Journal of banking & finance (01-02-2006)
    “…Credit limit management is of paramount importance for successful short-term credit risk management, even more so when the situation in credit and financial…”
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    An analysis of IMF-induced moral hazard by Döbeli, Barbara, Vanini, Paolo

    Published in Journal of banking & finance (01-12-2004)
    “…Three channels through which the IMF rescue package may affect international lending can be distinguished: debtor-side moral hazard, creditor-side moral…”
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    On Habits and Addictions by Braun, Norman, Vanini, Paolo

    “…In an extension of the Becker-Murphy model of habitual behavior, it is assumed that a more excessive consumption history of a habitual good may trigger a…”
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    A note on robustness in Merton's model of intertemporal consumption and portfolio choice by Trojani, Fabio, Vanini, Paolo

    Published in Journal of economic dynamics & control (01-03-2002)
    “…The paper presents a robust version of a simple two-assets Merton (1969, Review of Economics and Statistics 51, 247–57) model where the optimal choices and the…”
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