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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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