This paper analyzes how combining firms into either groups or conglomerates affects their credit standing, as measured by their de- fault probabilities, recovery rates and credit spreads. Each combina- tion offers protection against default to its affiliates, and issues debt to optimize the...

This paper provides the static, swap-based hedge for an annuity, and compares it with the dynamic, delta-based hedge, achieved using longevity bonds. We assume that the longevity intensity is distributed according to a CIR-type process and provide closed-form derivatives prices and hedges, also...

This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities. It builds a classical risk- return frontier and shows that hedging strategies - such as the transfer of...

This paper exploits a national university reform, introduced in Italy with an exogenous timing and an unintended delay of treatment scheme, to identify the impact on higher education participation of shortening the degree duration of the first-tier university studies. Using a degree-specific...

Theoretical considerations suggest that workers holding temporary contracts should accumulate more general human capital than workers under permanent contracts. Using matched employer-employee data, we find empirical support for this hypothesis, by showing that dismissed temporary workers are...

The goal of this paper (in Italian) is to assess the impact of consumers’ incentives to building renovations – introduced in Italy in 1997 by means of tax reimbursements – on construction sector’s economic activity. Our analysis – which absent any sectional variability in the policy...

This paper aims to analyze phenomena such as the diffusion of non-standard work and the incidence of low-paid work from a distinctive, and generally neglected angle: that of occupations. Much can be gained from a more fine-grained analysis of labour market dynamics that casts light on which...

The paper studies the equilibrium value of bid-ask spreads and time- to-trade in a continuous-time, intermediated fi?nancial market. The en- dogenous spreads are the price at which brokers are willing to offer imme- diacy. They include physical trading costs. Traders intervene optimally, when...

The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to re ect the properties of trade, which it represents. The resulting process may...

We analyze theoretically banks’ choice of organizational structures in branches or subsidiaries in the presence of government bailouts, default costs and - possibly - economies of scale as sources of financial synergies. We compare with stand-alone banks. Subsidiary and branch structures...