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Value-at-Risk Prediction in R with the GAS Package

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Generalized Autoregressive Score (GAS) models have been recently proposed as valuable tools for signal extraction and prediction of time series processes with time–varying parameters. For financial risk managers, GAS models are useful as they take the non–normal shape of the conditional distribution into account in the specification of the volatility process. Moreover, they lead to […]

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Warwick Congress 2017

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We thank the Organizational Committee of Warwick Congress to have invited SFSA to be the ambassador of the event. We think this could be a great opportunity for a student to enlarge his/her network and to learn about different topics directly from the practitioners. Warwick Congress was born as a new innovative concept exploring current affairs […]

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XVIII Workshop on Quantitative Finance

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QFW2017 L’Università degli Studi Milano-Bicocca ospiterà la XVIII edizione del Workshop on Quantitative Finance. L’invito a parteciparvi è aperto a tutti gli studenti del corso FINASS. La partecipazione è gratuita ed è sufficiente registrarsi sul sito nella apposita sezione. Il seminario si terrà da mercoledì 25 a venerdì 27 Gennaio 2017. Per info e maggiori […]

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LSE Alternative Investments Conference 2017

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La prof.ssa Chiarolla è stata invitata dalla LSE a coinvolgere studenti FINASS a partecipare alla LSE AI Conference 2017. Di seguito riportiamo la parte dell’invito: LSE SU Alternative Investments Conference 2017, the world’s largest student-run conference on Hedge Funds and Private Equity. We are aware of the quality of students at Sapienza and strongly encourage […]

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SpillOver Effect Analysis on S&P500 and Eurostoxx50 [ITA]

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Abstract: Questo elaborato presenta un’analisi dell’effetto contagio nei mercati finanziari, noto come effetto Spillover. L’analisi è stata condotta interamente attraverso il software $R$. La definizione di contagio tra due mercati utilizzata in questa trattazione è la seguente: si definisce contagio l’aumento delle relazioni tra due o più mercati in seguito ad uno shock in uno degli stessi. L’idea è […]

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Chevron Corporation Equity Research

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Chevron Corporation student’s equity research presentation for the course of Disclosure, Governance and Reporting. The Analysis on Chevron Corporation includes an Overview and Corporate Structure Analysis, Competitors and Relative Analysis, DuPont Analysis, Three Stage DDM Analysis, Monte Carlo Simulation, Target Price and Recommendation. Chevron corp from Rostyslav Lytvyn   Team Members: Paolo Lelio Galante Rostyslav […]

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Net Interest Income Forecasting

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NET INTEREST INCOME FORECASTING PROJECT During the academic year 2015-2016 we were involved as SFSA in econometrics research project commissioned by the Head of Active Value Management of Intesa Sanpaolo, Dott. Tullio Lucca. The project was focused on the Net Interest Income (NII) analysis and was overviewed by Rita Laura D’Ecclesia, full professor of Quantitative Finance […]

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Commodity Trading and Risk Management

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The riskGRID ETRM Game: Commodity Investing and Trading market-driven course regarding the fundamental and technical analysis, trading strategies, futures, swaps, options, deal structuring (financial engineering). The course and the game is organized by David G. Stack who is the managing director of Agrimax, a commodity market consulting firm. He has worked in the commodities industry […]