Mariacristina Uberti

Present Value Decomposition of Foreign Currency Assets

With the opening of international stock-markets, financial decision-makers have the opportunity to diversify the composition of their portfolio by assets in different foreign currencies. If on one hand this opening enlarges the possibility of both investment and financing, on the other financial tools are needed to subdue, to limit or to exclude the exchange risk. In particular it may be useful to analyse how contingent variations of exchange rates can influence a portfolio evaluation in a multiperiod context.

A target-oriented approach: A "one-size" model to suit humans and econs behaviors

Thaler and Sunstein (2008) introduce two stereotypical decision makers: the Econs, imaginary people who always behave as strictly rational expected utility maximizers, and the Humans, real people subject to ordinary behavioral biases. This note sheds light on how the axiomatic target-oriented approach introduced by Castagnoli and Li Calzi (1996) may fit well the behavior of both of them. We show that although Econs and Humans use a different language, they maximize the same functional, e.g. the probability of meeting the goal. So declaring the probability distribution of the goal permits to elicit the agent value function. A number of different distributions for goals are discussed and the family of the skew normal ones is proposed for its user-friendly flexibility. We show how moving the skewness parameter along its range every stereotypical decision maker’s profile may be modelled.

Italian mortgage markets and their dynamics

This paper deepens previous studies on the analysis of the fixed (FRMs) and adjustable rate mortgages (ARMs) dynamics and the interconnections between FRMs and ARMs markets. In particular, an econometric analysis on the Italian mortgage markets series from 1997:q1 to 2012:q3 is set up by involving the VAR estimation technique. Very interesting results are achieved to point out how the effects of the European Central Bank control on the Euribor transmit (i) to the behavior of interest rates term structure as well as (ii) to interest rates of contracts involved in different technical forms offered in the Italian mortgage markets.

An Integrated Financial and Accounting Approach to Outstanding Debt Assessment for Lease Agreement

During the lifetime of lease agreements, in case of lack of a specific legislative or statutory regulation, some problems can arise in their evaluation. In some circumstances, the assessments can be inferred by analogy, using similar regulated contract; however, disputes that are at the boundary between law and financial calculation can spring up when coming to assessment of such agreements.

Optimal Monetary Policy for Commercial Banks Involving Lending Rate Settings and Default Rates

In the modern industrial economies, the interest rates dynamics are influenced by the decisions of the Money Authority. With these decisions the Central Bank of a country wields a direct control on the trend of short–term interest rates and, through this way, it is in a position to influence indirectly the long–term interest rates. Typically the Money Authority resorts to this possibility with the aim to limit the fluctuations of the main economic variables. So that an immediate connection is established between the trend of the interest rates and the macro–economic variables with respect to the Central Bank, that is institutionally to have an influence.

Immunization of Portfolios with Liabilities

In the framework of semi-deterministic classical immunization theory, the immunization problem of a portfolio with multiple liabilities is considered with respect to a wide class of interest rate shift time functions that encompasses convex shifts. The Fong-Vasicek classical bound on the change in the value of a portfolio is extended to this general case. Moreover sufficient and necessary conditions for portfolio immunization are supplied.