1,721,062 research outputs found
A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models
No full textAmbiguity refers to a fogginess inducing some lack of precision in variables, parameters or magnitudes in models whose aim is to represent real phenomena or better that are strictly linked to the human feelings and beliefs. It has recently become an usual model assumption in several stream of literature. Here we focus on multivariate models affected by ambiguity and provide a rigorous modellization of the main ingredients causing a multidimensional fuzzification. We introduce a conditional fuzzified model, where a certain level of uncertainty affects the set of univariate margins individually taken and also an unconditional model where the ambiguity involves the dependency structure as well. Both these models, i.e. the conditional and the unconditional fuzzy copula model, are compared and their convergence is discussed. Finally a pricing application of these multidimensional fuzzy models, based on Sugeno measures, is proposed
Necropoli di Valle Trebba ( Spina). Studio del settore meridionale del "Dosso E"
No full textThe Etruscan necropolis of Valle Trebba (Spina). Study of the southern part of "Dosso E".
The Research topic, which is part of a broader project of the Chair of Etruscology and Italic Archaeology of the Bologna University, involves the whole necropolis of Valle Trebba of the Etruscan port city of Spina. This research is the study of a topographically coherent batch of 196 graves located in the southern part of Dosso E of the necropolis. The main goals are the study of grave goods and the concerning funerary and spatial analysis of the area.
There's no relation between the consecutive numbering of the graves and their topographic location, so it became necessary to revise and update the plan of the entire necropolis, in order to carry out a proper division of the next batch of tombs, that will be the subject of future studies.
This analysis and the planimetric reconstruction was not included among the first objectives of the work, so it was added during the execution and it represents an essential part of the research.
The study of grave goods had resulted into the collection of a great amount of archival, graphical, and photographic data, all of them found in the Archives of Superintendence for Archaeological Heritage of Emilia Romagna. These informations have been merged into a database, using the same structure as the one used for other etruscan-padan burial contexts, for instance Bologna and Adria.
This database was then completed with the systematic and analytic indexing of the findings preserved at the National Archaeological Museum of Ferrara.
The retrieved informations were elaborated into an index of funerary contexts, which were reconstructed into their original disposition: then it was possible to define a better periodization of the funerary area, which chronological range spans between the late VIth and the full IIIrd century B.C.
The study of archival information has also enabled a revision of the planimetry of the area (the excavation zones) and a new visual reconstruction of the ancient landscape of the necropolis, in particular of the geomorphological aspect, which is functional for the spatial analysis of the burials.
This has reconstructed the ancient morphology of the hill, which appeared as a sandy compact cord, with a highest median ridge starting from the center to the southern tip of the hill, bounded on the north by a flat area characterized by the presence of an ustrina.
The obtained data were then processed by performing an analysis of the funerary contexts and, for the first time, also by analyzing the dynamics of occupation of the funeral area: this will led to a understanding of the changes of funerary rituals in time and to the identification of funerary plots.
This has led to an explanation of specific forms of funerary rituals, identifying elements of continuity and discontinuity.
The study of the dynamics of occupation shows that the oldest tombs were placed on the axis of the hill, and all around them were then located all the other tombs, especially of burial ritual, for most of the Vth century. B.C. Then other aggregation groups were identified in the southernmost part of the hill, along the line of the east coast, in the area occupied by the ustrina (probably at a latter time after its use in relation to the oldest tombs of late VIth – early Vth century B.C.), located on the axis of the hill; in the end, a last group to the northern limit of the study area, on a small rise in the north that closed off the flat area occupied by the ustrina.
The study of the location of the graves and the dynamics of occupation over time, combined with the geomorphological reconstruction of the hill, also allowed to suppose trade domestic routes, in a possible connection with two landings located on the eastern edge.
Finally, this framework allowed to define the basic outlines of the type and forms of funerary rituals of the area from the late VIth to the full IIIrd century B.C., recognizing their changes and evolutions.
The plan of the whole necropolis was carried out as part of the kits' study, with every single tomb discovered from 1922 to 1936.
To date, there are in fact only partial planimetric processing of the necropolis, which are often limited to the sector that delivered the greater number of tombs, field 52 of Zone I.
In scientific literature there is a partial absence of topographic studies of the necropolis, here offset by a very thorough documentation of the excavation, consisting mainly by Excavation Diaries
The new plan of the necropolis of Valle Trebba here presented was drafted informatically using the plan (developed by A. Rosa in 1993) preserved in the archives of the National Archaeological Museum of Ferrara as a starting point, which showed the location of the graves in Zone I and in part of Zone II. We then proceeded checking the graves' location on the plant and the integration of missing burials on the basis of a careful reading of the excavation documentation described above.
In the end we have the complete plan of all the 1215 tombs, divided into three areas marked by drainage canals.
The plan, as a starting point for the study of Valle Trebba, not only shows the position of the graves, but also as much data it was possible to bring schematically on the plant: it shows the type and orientation of the tombs, the excavations and the related outcomes, the presence of areas with traces of looted tombs, the limits and the trend of sandy hillocks, whether they are written in the Excavation Diaries or deducted from the location of tombs. The plan also shows possible interventions of bumps delimitations, and finally the areas recognized at the time of the excavation as ustrinae.Necropoli etrusca di Valle Trebba (Spina). Studio del settore meridionale del “Dosso E”.
Tema della ricerca, che rientra in un progetto di più ampio respiro della Cattedra di Etruscologia e Archeologia Italica dell'Università di Bologna che coinvolge l'intera necropoli di Valle Trebba della città portuale etrusca di Spina, è lo studio di un lotto di 196 tombe topograficamente coerente situato nella parte meridionale del Dosso E della necropoli. Obiettivi primari della ricerca sono lo studio dei corredi funerari di quest'area selezionata e la relativa analisi funeraria e spaziale.
Inoltre, essendo nota la mancanza di relazione tra la numerazione progressiva delle tombe e la loro dislocazione topografica, si è resa subito necessaria una revisione ed un aggiornamento della planimetria dell'intera necropoli, in modo da poter procedere ad una corretta divisione dei prossimi lotti di tombe che saranno in futuro oggetto di studio. Tale analisi e ricostruzione planimetrica, pur non essendo inclusa fra gli obiettivi iniziali di lavoro, è quindi stata aggiunta in corso d'opera e rappresenta parte sostanziale della ricerca.
Lo studio dei corredi ha comportato la raccolta di una grande quantità di informazioni di natura archivistica, grafica, fotografica, reperite presso gli Archivi delle sedi della Soprintendenza per i Beni Archeologici dell'Emilia Romagna, poi confluite in un database, la cui struttura è ripresa da quello già usato per lo studio delle altre realtà funerarie di ambito etrusco-padano, nella fattispecie Bologna e Adria. Tale database è stato quindi completato con la schedatura sistematica e analitica dei reperti conservati presso il Museo Archeologico Nazionale di Ferrara. In particolare, le informazioni così raccolte sono state rielaborate in un Catalogo dei contesti funerari, che sono stati ricostruiti nella loro composizione originaria. In questa maniera è stato possibile definire una periodizzazione più puntuale dell'area funeraria in esame, il cui range cronologico è compreso tra la fine del VI e il pieno III sec. a.C. Lo studio delle informazioni d'archivio ha inoltre permesso, oltre ad una rielaborazione planimetrica dei settori di scavo della necropoli oggetto di studio, una inedita proposta di restituzione del paesaggio antico, in particolare dell'aspetto geomorfologico, funzionale all'analisi spaziale delle sepolture medesime. Si è così ricostruita l'antica morfologia del dosso, che doveva apparire come un cordone sabbioso compatto, con una spina mediana più elevata a partire dal centro fino alla punta meridionale dello stesso, delimitata a nord da un'area pianeggiante caratterizzata dalla presenza di un'ustrina.
I dati ricavati sono stati quindi elaborati eseguendo una analisi dei corredi e, per la prima volta, anche delle dinamiche di occupazione dell'area funeraria, finalizzate alla definizione delle forme di ritualità funeraria spinetiche in diacronia e all'individuazione di plots funerari. Si è così arrivati all'enucleazione di specifiche forme di ritualità funeraria, individuando elementi di continuità e discontinuità. Lo studio delle dinamiche di occupazione ha rilevato come sull'asse del dosso si posizionassero le sepolture più antiche, caratterizzate dal rito crematorio, attorno alle quali si andarono a disporre tutte le altre sepolture, soprattutto ad inumazione, per la maggior parte del V sec. a.C. Altri gruppi di aggregazione sono poi stati individuati nella parte più meridionale del dosso, lungo la linea di costa orientale; nell'area occupata dall'ustrina, probabilmente in un momento successivo al suo utilizzo in relazione alle tombe più antiche di fine VI-inizi V sec. a.C. localizzate sull'asse del dosso; infine un ultimo gruppo al limite settentrionale dell'area in esame, su un piccolo rialzo del dosso che chiudeva a nord l'area pianeggiante occupata dall'ustrina.
Lo studio della dislocazione delle tombe e delle dinamiche di occupazione nel corso del tempo, unito alla ricostruzione geomorfologica del dosso, ha permesso inoltre di ipotizzare vie di percorrenza interna, probabilmente in connessione con due approdi situati sul margine orientale.
Infine, questo quadro articolato ha permesso così di definire le linee fondamentali delle forme di ritualità dell'area funeraria dalla fine del VI al pieno III sec. a.C., riconoscendone cambiamenti ed evoluzioni.
Contestualmente allo studio dei corredi, è stata realizzata la planimetria di tutta la necropoli di Valle Trebba con tutte le tombe scoperte dal 1922 al 1936. Ad oggi sono infatti presenti solo elaborazioni planimetriche parziali della necropoli, le quali spesso si limitano al settore che ha restituito il maggior numero di tombe, ovvero al campo 52 della Zona I. Ad una parziale assenza nella letteratura scientifica di studi topografici sulla necropoli, si contrappone una documentazione di scavo molto accurata, costituita in primo luogo dai Giornali di Scavo. La nuova planimetria della necropoli di Valle Trebba qui presentata è stata redatta in maniera informatica utilizzando come base di partenza la planimetria conservata presso l’archivio del Museo Archeologico Nazionale di Ferrara, elaborata da A. Rosa nel 1993, la quale mostrava la dislocazione delle tombe nella Zona I e in parte della Zona II. Si è quindi proceduto con la verifica della posizione delle tombe sulla pianta e l'integrazione delle sepolture mancanti sulla base di una attenta lettura della documentazione di scavo sopra descritta, arrivando ad avere così la planimetria completa di tutte le 1215 tombe divise in 3 zone scandite dai canali di bonifica.
La planimetria, quale punto di partenza per lo studio di Valle Trebba, non mostra solamente la posizione delle tombe, ma quanti più dati è stato possibile riportare schematicamente sulla pianta: la tipologia e l’orientamento delle tombe, i saggi di scavo ed i relativi esiti, l’eventuale presenza di zone che recano tracce di tombe saccheggiate, i limiti e l’andamento dei dossi sabbiosi, che siano essi esplicitati nei Giornali di Scavo o dedotti dalla dislocazione delle tombe, eventuali interventi di delimitazione dei dossi, ed infine le aree riconosciute al momento dello scavo come ustrinae
Optimal hedge ratio under a subjective re-weighting of the original measure
No full textIn this article we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is measured through a spectral risk measure (SRM), thus incorporating the degree of agent’s risk aversion. We empirically estimate the optimal hedge ratio (OHR) using a long time series of UK and US equity indices, the EURUSD and EURGBP exchange rates and four liquid commodities (Brent crude oil, corn, gold and copper), to represent different asset classes. Comparing the results with common OHRs (such as the minimum variance and the minimum expected shortfall), we find that the agent’s risk aversion has a material impact, and should not be ignored in risk management
A copula-based hierarchical hybrid loss distribution
Full text linkWe propose a model for the computation of the loss probability distribution allowing to take into
account the not-exchangeable behavior of a portfolio clustered into several classes of homogeneous loans.
These classes are classied as ‘large’ or ‘small’ depending on their cardinality. The hierarchical hybrid copulabased
model (HHC for short) follows the idea of the clusterized homogeneous copula-based approach (CHC)
and its limiting version or the limiting clusterized copula-based model (LCC) proposed in our earlier work.
This model allows us to recover a possible risk hierarchy. We suggest an algorithm to compute the HHC loss
distribution andwe compare this cdf with that computed through the CHC and LCC approaches (in the Gaussian
and Archimedean limit) and also with the pure limiting approaches which are commonly used for highdimensional
problems. We study the scalability of the algorithm
Climate risk and sovereign debt: country-level exposures and scarcity effects in green bonds
Full text linkWe investigate the role of climate risk in the Eurozone sovereign debt market, to evaluate the current pricing of different risk factors in the government spreads of each country. Particular attention is paid to differences between green and non-green bonds, in terms of reactions to climate risk. Weather variables are selected in line with the guidelines of Eurozone climate stress tests, and taken as proxies for acute and chronic physical risk, while EU carbon allowances are included to capture transition risk. Their significance is studied as potential drivers of mean spread variations and for their comovement with spreads in the case of extreme events, to provide insights for climate risk management and financial policy, with the goal of enhancing the resilience and stability of the financial system. From both analyses, the same results emerge: climate risk is being priced by the market, but differently depending on the country, and green government bonds from different countries have a divergent reaction to climate risk factors. Dutch and French green spreads closely mirror their traditional counterparts, while German, Italian, and Spanish green bonds display lower reactivity. Various explanations are considered, including a “scarcity effect” linking the behavior of green bonds to their abundance relative to total outstanding government debt. Finally, the most relevant risk factors of each country are highlighted, comparing the results to known climate change challenges
ESG rating and ambiguity: an informative and distorted signal-based approach
Full text linkIn an increasingly uncertain, complex socio-economic, and geopolitical environment,
the significance of information signals and their perception becomes more crucial,
especially in assessing sustainability and environmental impact. The challenges arise
from businesses’ lack of transparency and reported data, making it difficult for
investors and rating agencies to evaluate and manage risks, costs, sustainability, riskadjusted
performance, greenwashing, fiduciary duty clarification, and scoring. This
emphasizes the substantial impact of a high level of ambiguity on the market. Considering
the three pillars of ESG parameters, we propose a novel model for assessing an
ESG Rating based on (i) the level of disclosure, representing the quality of the signal
and released information, and (ii) the subjective perception of the signal itself. This
perception can be influenced by factors such as personal risk aversion and ESG disagreement
arising from controversies in the rating process. Recognizing the identified
distortion in the ESG rating as having predictive power, where ambiguity can been
seen as a way to represent the market’s sentiment, the distortion turns out to play the
role of a policy driver capable of identifying sectorswhere ESG is under/overestimated
and testing the robustness of a scoring metho
A Novel Approach to Rating SMEs' Environmental Performance: Bridging the ESG Gap
Full text linkGiven the increasing significance of sustainability in investment decisions and regulatory frameworks, Envi- ronmental Social and Governance (ESG) ratings for companies are becoming increasingly relevant in the decision-making processes of stakeholders. While large listed companies are mandated to disclose ESG infor- mation, the same cannot be said for Small and Medium Enterprises (SMEs). SMEs are not obligated to provide either sustainability information or their own ESG ratings, leaving them susceptible to potential disadvantages in securing capital and attracting investments. Moreover, ESG rating agencies source all the necessary data from the very companies they are meant to assess, leading to an evident conflict of interest.
In this paper, we propose a comprehensive solution to urgently address this gap in ESG disclosure. Leveraging the unique capabilities of Neural Networks (NN) to comprehend and replicate intricate patterns, we train a NN using available environmental and rating data from large companies. The NN learns how to replicate ratings based on the available information. Once the network is adequately trained, we employ it to generate ratings for SMEs that would otherwise lack any form of rating. Another point of innovation is represented by the type of data used, i.e. we utilize data acquired through satellite observations within the European Union (EU) Copernicus Program, ensuring an impartial means of gathering information on environmental activities. Our NN is fed with satellite observations, with the target being the ratings recognized by supervisory agencies. Once the network has been satisfactorily trained and can accurately reproduce the target set of ratings, it is directly applied to the same dataset for a group of SME companies. In doing so, we establish a methodology for consistently rating SMEs’ environmental performance in alignment with the methodology used for larger companies
A climate risk hedge? Investigating the exposure of green and non-green corporate bonds to climate risk
Full text linkWe perform an in-depth analysis of climate risk in the corporate bond market, focusing on the green-bond issuers of the three largest European Union economies by GDP: Germany, France, and Italy. We do so by evaluating the impact, on the spreads of their green and non-green bonds, of a number of potential physical risk drivers, selected in line with the ECB climate stress tests and the extant literature, and through the fitting of ARIMAX models. Additionally, we include the log-returns of EU carbon allowances as a potential proxy of transition risk. We find that green and non-green bonds of the same issuer can differ in their exposure to the physical risk variables. Depending on the issuer, green bonds can be equally or less exposed than their non-green counterparts. Additionally, multiple firms in the renewable energy sector have green bonds which provide protection against physical risk. EU carbon allowances are not found to have a consistently significant impact on bond spreads. In line with these findings, we propose an extension of an intensity-based (reduced-form) credit risk model and assess its ability to describe and fit the bond data
Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application
No full textIn this paper, we propose a novel approach for the computation of the probability distribution of
a counting variable linked to a multivariate hierarchical Archimedean copula function. The
hierarchy has a twofold impact: it acts on the aggregation step but also it determines the arrival
policy of the random event. The novelty of this work is to introduce this policy, formalized as an
arrival matrix, i.e., a random matrix of dependent 0–1 random variables, into the model. This
arrival matrix represents the set of distorted (by the policy itself) combinatorial distributions of
the event, i.e., of the most probable scenarios. To this distorted version of the CHC approach [see
Ref. 7 and Ref. 27], we are now able to apply a pure hierarchical Archimedean dependence
structure among variables. As an empirical application, we study the problem of evaluating the
probability distribution of losses related to the default of various type of counterparts in a
structured portfolio exposed to the credit risk of a selected set among the major banks of European
area and to the correlations among these risks
- …
