On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Econometrics of default risk

This thesis is the result of a project aimed at the study of a crucial topic in finance: default risk, whose measurement and modelling have achieved increasing relevance in recent years. We investigate the main issues related to the default phenomenon, under both a methodological and empirical perspective. The topics of default predictability and correlation are treated with a constant attention to the modelling solutions and reviewing critically the literature. From the methodological point of view, our analysis results in the proposal of a new class of models, called Poisson Autoregression with Exogenous Covariates (PARX). The PARX models, including both autoregressive end exogenous components, are able to capture the dynamics of default count time series, characterized by persistence of shocks and slowly decaying autocorrelation. Application of different PARX models to the monthly default counts of US industrial firms in the period 1982-2011 allows an empirical insight of the defaults dynamics and supports the identification of the main default predictors at an aggregate level.

The Moho reflectivity from ambient seismic noise autocorrelations beneath the Western Alps

The lower crustal structure beneath the Western Alps -- including the Moho -- bears the signature of past and present geodynamic processes. It has been the subject of many studies until now. However, its current knowledge still leaves significant open questions. In order to derive new information, independent from previous determinations, here I wish to address this topic using a different method --- ambient seismic noise autocorrelation --- that is for the first time applied to reveal Moho depth in the Western Alps. Moho reflections are identified by picking reflectivity changes in ambient seismic noise autocorrelations. The seismic data is retrieved from more than 200 broadband seismic stations, from the China--Italy--France Alps (CIFALPS) linear seismic network, and from a subset of the AlpArray Seismic Network (AASN). The automatically-picked reflectivity changes along the CIFALPS transect in the southwestern Alps show the best results in the 0.5--1 Hz frequency band. The autocorrelation reflectivity profile of the CIFALPS transect shows a steeper subduction profile,~55 to ~70 km, of the European Plate underneath the Adriatic Plate. The dense spacing of the CIFALPS network facilitates the detection of lateral continuity of crustal structure, and of the Ivrea mantle wedge reaching shallow crustal depths in the southwestern Alps. The data of the AASN stations are filtered in the 0.4--1 and 0.5--1 Hz frequency bands. Although the majority of the stations give the same Moho depth for the different frequency bands, the few stations with different Moho depths shows the care that has to be taken when choosing the frequency band for filtering the autocorrelation stacks. The new Moho depth maps by using the AASN stations are a compilation of the first and second picked reflectivity changes. The results show the complex crust-mantle structure with clear differences between the northwestern and southwestern Alps.