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

Read More…

Share Button
Posted in Economics, MICERs, R-stats
Tags: ,

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

Read More…

Share Button
Posted in Economics
Tags: , ,

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.

Share Button
Posted in Economics
Tags:

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.

Share Button
Posted in Economics, R-stats
Tags:

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).

Share Button
Posted in Economics, R-stats
Tags: ,

Old interview about mutual funds, diversification and returns

Video about mutual funds, diversification and returns (Italian only)

Share Button
Posted in Economics
Tags:

Gambling on bad loans

View it as an independent HTML file with R code. Quotes in gambling are driven by the probability of an outcome to occur and in a football match like Premier League’s Arsenal vs. Chelsea on Saturday, January 19th 2019 —at the time of writing this short essay about gambling on bad loans—

Read More…

Share Button
Posted in Economics
Tags: , ,

Corporate and investment banking: a summary

A concise summary of an investment bank’s core services: underwriting and advisory services. View (independent html). Corporate and investment banking Rodolfo Vanzini 10/30/2018 Commercial and corporate & investment banking What is commercial banking? And how can we define it in an as concise way as possible? Commercial banking is basically deposits

Read More…

Share Button
Posted in Economics
Tags:

Tweets