1,721,139 research outputs found
Managing the Risk Side of a Medium Size Portfolio Showing GARCH Effects
No full textIn this paper we present two dierent Value at Risk models which assume a general multivariate GARCH structure for the asset returns. The need of imposing a restriction in order to reduce the parametric space of the
model to be estimated is achieved by means of a Principal-Component analisys. The purpose of the paper is twofold. First, to use a recently developed econometric methodology to identify the hidden factors of the time-varying variance-covariance matrix of asset returns. Second, to apply this method to
a fixed income medium size portfolio for risk management aims
A novel approach for testing the parity relationship between CDS and credit spread
No full textWe test the CDS-credit spread arbitrage by taking into account the presence of an unobserved common factor structure driving the movement in the prices. We examine 193 European CDS-Bond basis from January 2007 to December 2009. We estimate one and two common factors for the corporate bond spreads and the CDS premia, respectively. We address the issue of cross-member cointegration by adopting a novel approach. While standard cointegration techniques support the parity relation, the novel approach discards this hypothesis
Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques
No full textTwo 'reduced-form' GARCH-M models are used to estimate the German swap spreads from a risk premium point of view. The first model makes use of a parametric GARCH in mean model that has been extended to the case of a vector autoregressive process. The second is a semiparametric model where the conditional variance is formalized as a GARCH process while conditional mean is an arbitrary function of it. It is shown that the monotonic relation implied by both GARCH in mean models between the delta swap spreads and its conditional variance holds for all maturities considered. Not surprisingly, the semiparametric model leads to a better explanation of the swap spreads dynamic than the parametric specification.
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study
Full text linkRecently some new techniques have been proposed for the estimation of the
slope coefficients in presence of unobserved components. Though, the presence of
common observed and unobserved factors is neither considered or the estimation
of their impacts is not taken into account. In this work a range of estimators
is surveyed and their finite-sample properties are examined by means of Monte
Carlo experiments. We consider both the properties of estimators for the individual
specific components and for the observed common effects
Who skims the cream of the Italian graduate crop? Wage-employment versus self-employment
Full text linkThis paper tests whether the academic achievement is a significant determinant of the employment status in the Italian labor market: are the new entrepreneurs selected from the top or bottom end of the graduates
ability distribution? Is the cream of the graduate crop pulled into self-employment by the higher expected earnings or are the individuals with lower degree score pushed into entrepreneurship by poor alternatives?
Our data show a strong negative relation between academic achievement and self-employment status, i.e. we assess the skimming of the best graduates into wage and salary work
Euro corporate bond risk factors
No full textThis paper investigates the determinants of credit spread changes on bonds denominated in euro. The analysis is carried out using a panel data on euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit spread changes can be easily viewed as an excess return of corporate bonds over treasury, we adopt a factor model framework. We consider different approaches to the estimation of common factors using a panel of monthly redemption yields on a set of corporate bonds for a time span of three years. Our results suggest that the euro corporate market is widely heterogeneous and illiquid. Neither the issue specific factors nor the aggregate common factors appear important in determining credit spread changes. However, an unobserved common factor, identified as a liquidity factor seems to drive a relevant component of the systematic changes in credit spreads
Effort allocation in tournaments: the effect of gender on academic performance in Italian universities
Full text linkWe consider the academic performance of Italian university graduates and their labor market position 3 years after graduation. Our data confirm the common finding that female students outperform male students in academia but are overcome in the labor market. Assuming that academic competition is fair and that individual talent is equally distributed by gender, we suggest that the gender gap evident in degree scores is endogenously due to the greater effort exerted by female students. We find that females face a greater increase in labor market returns from signalling through academic performance. This higher prize explains the greater effort exerted by females and the higher probability of winning the academic competition
Unfair tournaments: gender stereotyping and wage discrimination among Italian graduates
Full text linkThis paper addresses the gender pay gap among Italian university graduates on entry to the labor market, and stresses the potential for gender stereotypes to impact subjective assessment of individual productivity. We build upon previous research about gender and wage inequality, introducing tournament theory as a framework for the gender pay gap analysis. We hypothesize that the effects of gender make occupational tournaments less fair in some arenas compared with others. As a consequence, men workers have higher probabilities of winning the wage competition, but this process is uneven. Our data show that in contexts where stereotypes are most likely to occur, tournaments appear to be less fair and the unexplained component of the gender pay gap is higher
The Gender Gap in Academic Achievements of Italian Graduates
Full text linkWe analyse the academic performance of Italian students who graduated in 2004, and their occupational status and earnings in 2007. We find that the educational and occupational performances of male and female students do differ: girls outperform boys in academic achievement, but male graduates outperform female graduates in labour market outcomes. One could wonder why female students put more effort into educational performance than male students, given that they will receive lower wages. We find a rationale for this choice in the higher marginal return that female students gain from their higher grades. We address our empirical analysis to four points: first, we show that, for the most part, the difference in educational performance is explained by the diversity in unobserved characteristics between male and female students. Second, we provide empirical evidence that the amount of effort supplied is the key determinant of the unobserved characteristics. Third, we argue that female students study hardly because they gain a higher marginal return from success in educational competition. Fourth, as this finding may be consistent with both human capital and sorting models of education, we test the hypothesis that female students use their higher grades to signal their ability to potential employers
Changes in the gender pay gap over time: the case of West Germany
No full textUsing data from the German Socio-Economic Panel, this paper analyzes changes in the gender pay gap in West Germany between 1984 and 2020. The literature generally observes a catching-up of women over time with a slowdown since the mid-1990s and often concentrates on the USA. We present both an aggregate and detailed decomposition of changes in wages allowing us to directly test for changes in the components of the decomposition across gender and time. Apart from standard OLS, we use linear unconditional quantile regressions in order to be able to take changes in the gap and its components at the mean and across the distribution into account. We find that the gender pay gap statistically significantly declined at the bottom and the middle, while it increased at the top of the wage distribution. These results suggest that glass ceiling is a major challenge to the West German labour market
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