Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Marco Corazza Claudio Pizzi Mathematical and Statistical Methods for Actuarial Sciences and Finance ...

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Marco Corazza (Editor) Claudio Pizzi (Editor) Mathematical and Statistical Methods for Actuarial Sciences and Finance ...

Marco Corazza Department of Applied Mathematics University Ca’ Foscari Venice Venice, Italy Claudio Pizzi Department of Statisti ...

Preface This volume collects a selection of refereed papers of the more than one hundred presented at theInternational Conferenc ...

VI Preface solvency analysis; static and dynamic portfolio management; time series analysis; volatility term structure; and trad ...

Contents Impact of interest rate risk on the Spanish banking sector Laura Ballester, Rom ́an Ferrer, and Crist ́obal Gonz ́alez. ...

VIII Contents Empirical likelihood based nonparametric testing for CAPM Pietro Coretto and Maria Lucia Parrella................. ...

Contents IX On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection Włodzimierz Og ...

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List of Contributors Laura Ballester Department of Economic Analysis and Finance, University of Castilla – La Mancha, Cuenca, Sp ...

XII List of Contributors Pietro Coretto Department of Economics and Statistics, University of Salerno, Fisciano, Italy Valeria D ...

List of Contributors XIII Michele La Rocca Department of Economics and Statistics, University of Salerno, Fisciano, Italy Susann ...

XIV List of Contributors Sara Pasquali CNR-IMATI, Milan, Italy Danilo Pelusi Dipartimento di Scienze della Comunicazione, Univer ...

List of Contributors XV Patrizia Semeraro Department of Applied Mathematics D. De Castro, University of Turin, Turin, Italy Ange ...

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Impact of interest rate risk on the Spanish banking sector Laura Ballester, Rom ́an Ferrer, and Cristobal Gonz ́ alez ́ Abstract ...

2 L. Ballester, R. Ferrer, and C. Gonz ́alez volatility on the distribution of bank stock returns. The rest of the paper is orga ...

Impact of interest rate risk on the Spanish banking sector 3 error term with zero mean and conditional variancehit, which is dep ...