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Rodolfo Vanzini
Making sense of economics
Blog Archives
Applicazioni del modello di Black-Litterman
Il modello di Black-Litterman (BL) è uno strumento molto efficace capace di rispondere positivamente alle critiche mosse —anche ingiustificatamente— al modello di ottimizzazione di portafoglio media-varianza. È uno strumento efficace in grado di integrare in modo coerente le prospettive dell’investitore all’interno di un modello di equilibrio generale. Consente di tenere
Italian banks’ NPL 2-year-ahead forecasts
Non-performing loans (NPLs) have been plagueing Italy’s economy since the financial crisis broke out in 2007 and economic headwinds have since then been pushing back Italian banks’ capability of shedding them at least until late 2016. Economists know that high levels of non-performing loans in banks’ balance sheets hinder the
Exploring M&A deals in the tech industry using R
M&A deals in the tech industry over the last 20 years show some interesting patterns, though there seems to be neither any seasonal nor cyclical pattern. Read the analysis here.
Debt sustainability ratio in retail banking
A heuristic approach to assessing default risk in debt repayment of retail exposures is a rather straightforward debt sustainability ratio. Read on as a HTML independent file.
Gauging credit losses
Loss rates on loans are explained by a number of drivers that for a single loan can be summarized as read it as an independent html file (with R code).
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Rodolfo Vanzini
@RodolfoVanzini
- Cosa sappiamo degli analisti finanziari? Sì, anche i decorati al valor finanziario con sigla riservata (CFA, per ch… https://t.co/muxTsYLcvB
about 7 days ago - Robert Lucas era un gigante della macroeconomia, così lo ricordano quelli della redazione dell'Economist. Certo è c… https://t.co/aWVRScUeL1
about 2 weeks ago
