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SECS-S/06 METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
The main research topics address the evaluatiom of financial
assets and the measurement of risk, with particular emphasis on
multivariate analysis issues. The use of copula
functions is studied as a tool for the
evaluation of multivariate financial assets (basket equity or
credit derivatives), for the integration of risk measures (for
market, credit and operational risk), for the performance
meausrement of managed funds and for the analysis of asset price
dynamics in the presence of incomplete information (financial
bubbles, fraud risk, insider trading).
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