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...

La ricerca si basa sulle risposte a un questionario articolato date da 226 direttori del personale, che rappresentano imprese per un totale di circa 300.000 occupati in diversi settori, con una prevalenza del manifatturiero. L’indagine fornisce risposte ai seguenti interrogativi: (1) Qual è...

This report is one of the outputs resulting from Workpackage 4, "Social and professional integration" of the WALQING project, SSH-CT-2009-244597 (www.walqing.eu).

This report is one of the outputs resulting from Workpackage 5, "Stakeholder policies and problem assessment" of the WALQING project, SSH-CT-2009-244597 (www.walqing.eu).

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...

We use twenty years of Italian administrative panel data, a uniquely rich source of information on internal migration experiences, to identify the role of unobserved worker characteristics in the selection and returns to migrants. We propose and implement a novel iterative estimation method for...