Managing Structured bonds: an analysis through RAROC and EVA (Articolo in rivista)

Type

• Prodotto della ricerca (Classe)
• Articolo in rivista (Classe)

Label

• Managing Structured bonds: an analysis through RAROC and EVA (Articolo in rivista) (literal)

Anno

• 2009-01-01T00:00:00+01:00 (literal)

Alternative label

• Orlando A.; Cocozza R. (2009)
  Managing Structured bonds: an analysis through RAROC and EVA
  in Journal of risk management in financial institutions (Print); Henry Stewart Publications, London (Regno Unito)
  (literal)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori

• Orlando A.; Cocozza R. (literal)

Pagina inizio

• 409 (literal)

Pagina fine

• 426 (literal)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#altreInformazioni

• Prodotto digitalizzato (literal)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#url

• http://henrystewart.metapress.com/link.asp?id=2872615741l37538 (literal)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume

• 2 (literal)

Rivista

• Journal of risk management in financial institutions (Rivista)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo

• 4 (literal)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni

• University of Naples Federico II - Faculty of Economics; Italian National Research Council (CNR)- IAC Naples (literal)

Titolo

• Managing Structured bonds: an analysis through RAROC and EVA (literal)

Abstract

• The paper investigates a decision criterion for structured bonds portfolio choices. The main issue is the application of risk-adjusted indicators as tools to select either the asset portfolio given a structured bond, or the bond structure given an existing coverage asset portfolio. Such an indicator is suitable for the appraisal of both portfolio management and the potential profits of the structured issue. The selection tool is put into an asset and liability management decision-making context, where the relationship between the expected profit and the capital-at-risk are compared in order to evaluate the issue of the bond and the expected rate of return of the whole portfolio. The case is referred to an equity-linked bond and treated by means of Monte Carlo simulations to identify the best portfolio according to the issuer targets and constraints. (literal)

Editore

• Henry Stewart Publications (Editore)

Prodotto di

• Sviluppo di metodi matematici e statistici e del relativo software orientato al grid computing (ICT.P11.007.001) (Modulo)
• Istituto per le applicazioni del calcolo \"Mauro Picone\" (IAC) (Istituto)

Autore CNR

• ALBINA ORLANDO (Persona)

Insieme di parole chiave

• Keywords of "Managing Structured bonds: an analysis through RAROC and EVA" (Insieme di parole chiave)

Incoming links:

Autore CNR di

• ALBINA ORLANDO (Persona)

Prodotto

• Istituto per le applicazioni del calcolo \"Mauro Picone\" (IAC) (Istituto)
• Sviluppo di metodi matematici e statistici e del relativo software orientato al grid computing (ICT.P11.007.001) (Modulo)

Editore di

• Henry Stewart Publications (Editore)

Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#rivistaDi

• Journal of risk management in financial institutions (Rivista)

Insieme di parole chiave di

• Keywords of "Managing Structured bonds: an analysis through RAROC and EVA" (Insieme di parole chiave)