Roberto Savona

University of Brescia

C/da S. Chiara nr. 50

25122 Brescia

Italy

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 30,148

in Total Papers Downloads

1,844

SSRN CITATIONS
Rank 22,692

SSRN RANKINGS

Top 22,692

in Total Papers Citations

26

CROSSREF CITATIONS

16

Scholarly Papers (16)

1.
Downloads 444 ( 75,781)
Citation 2

Risk and Beta Anatomy in the Hedge Fund Industry

The European Journal of Finance, Forthcoming, DOI:10.1080/1351847X.2011.649216
Number of pages: 56 Posted: 31 Oct 2008 Last Revised: 27 Apr 2012
Roberto Savona
University of Brescia
Downloads 294 (120,250)
Citation 1

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Bayesian analysis, Conditional time-varying beta, Hedge Funds, Performance, VaR

Risk and Beta Anatomy in the Hedge Fund Industry

EMFI Working Paper No. 1 - 2009, The European Journal of Finance, Forthcoming, DOI:10.1080/1351847X.2011.649216
Number of pages: 62 Posted: 02 Apr 2010
Roberto Savona
University of Brescia
Downloads 150 (227,521)
Citation 1

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Bayesian Analysis, Conditional Timevarying Beta, Hedge Funds, Performance, VaR

2.

Hedge Fund Systemic Risk Signals

CAREFIN Research Paper No. 19/2010
Number of pages: 47 Posted: 02 Apr 2011
Roberto Savona
University of Brescia
Downloads 219 (162,506)
Citation 1

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Hedge Funds, Dynamic Conditional Correlations, Time-varying beta, Regression Trees

3.

Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing the Systematic Risk

CAREFIN Research Paper
Number of pages: 49 Posted: 24 Oct 2008 Last Revised: 06 Apr 2015
Gianni Amisano and Roberto Savona
Board of Governors of the Federal Reserve System and University of Brescia
Downloads 175 (199,294)

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Equity mutual funds, conditional asset pricing models, time-varying beta, Bayesian analysis

4.

Multidimensional Distance to Collapse Point and Sovereign Default Prediction

CAREFIN Research Paper No. 12/08
Number of pages: 44 Posted: 29 Nov 2008
Roberto Savona and Marika Vezzoli
University of Brescia and University of Brescia
Downloads 153 (223,373)
Citation 1

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CRoss validation AGGregatING, distance to default, Probit, Regression trees, Sovereign default

Tax-Induced Dissimilarities between Domestic and Foreign Mutual Funds in Italy

EFMA 2004 Basel Meetings
Number of pages: 49 Posted: 12 May 2004
Roberto Savona
University of Brescia
Downloads 109 (290,821)

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Italian mutual funds, Performance, Tax-distortions

Tax-Induced Dissimilarities between Domestic and Foreign Mutual Funds in Italy

Economic Notes, Vol. 35, No. 2, pp. 173-202, July 2006
Number of pages: 30 Posted: 19 Sep 2006
Roberto Savona
University of Brescia
Downloads 31 (546,755)
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Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals

Number of pages: 59 Posted: 30 Nov 2011
Roberto Savona and Marika Vezzoli
University of Brescia and University of Brescia
Downloads 84 (345,683)
Citation 2

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Data mining, Evaluating forecasts, Model selection, Panel data, Probability forecasting

Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 26
Number of pages: 60 Posted: 07 Nov 2012
Roberto Savona and Marika Vezzoli
University of Brescia and University of Brescia
Downloads 31 (546,755)
Citation 7

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Data mining, Evaluating forecasts, Model selection, Panel data, Probability forecasting

Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 1, pp. 66-92, 2015
Number of pages: 27 Posted: 07 Jan 2015
Roberto Savona and Marika Vezzoli
University of Brescia and University of Brescia
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7.

Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk

ECB Working Paper No. 881
Number of pages: 53 Posted: 12 Mar 2008 Last Revised: 07 Apr 2008
Gianni Amisano and Roberto Savona
Board of Governors of the Federal Reserve System and University of Brescia
Downloads 112 (283,829)

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Equity mutual funds, conditional asset pricing models, time-varying beta, Bayesian analysis

8.

Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-time Macro Fundamentals, and CDS Spreads

Number of pages: 60 Posted: 15 Apr 2020 Last Revised: 26 May 2020
Alessi Lucia, Pierluigi Balduzzi and Roberto Savona
Joint Research Center of the European Commission, Boston College - Carroll School of Management and University of Brescia
Downloads 89 (330,528)

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CDS spreads, macro fundamentals, eurozone crisis

9.

Taking the Right Course Navigating the ERC Universe

Number of pages: 60 Posted: 13 Jun 2014
Roberto Savona and Cesare Orsini
University of Brescia and Epsilon Associati Sgr S.p.A.
Downloads 73 (371,344)

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Portfolio Optimization, Risk Parity, Equal Risk Contribution, Regression Trees

10.

Do Mutual Funds Styles Reflect a Country-Specific Investment Philosophy? The Italian Case

Applied Financial Economics, Vol. 16, No. 4, 2006
Number of pages: 16 Posted: 18 Dec 2008
Roberto Savona
University of Brescia
Downloads 73 (371,344)

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Italian mutual fund, Investment styles, mutual funds dissimilarities, country-based dominant style factors

11.

Rules of Thumb for Banking Crises in Emerging Markets

Quaderni DSE Working Paper N° 872
Number of pages: 31 Posted: 23 Mar 2013
Paolo Manasse, Roberto Savona and Marika Vezzoli
Università degli Studi di Bologna - Department of Economics, University of Brescia and University of Brescia
Downloads 56 (425,435)
Citation 2

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Banking Crises, Early Warnings, Regression and Classification Trees, Stepwise Logit

12.

Credit Expected Shortfall with Time Varying Recovery Risk

Number of pages: 28 Posted: 29 Oct 2015
Roberto Savona and Mattia Raudaschl
University of Brescia and Prometeia
Downloads 49 (451,242)

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default rate; recovery rate; Jacobi process; Expected Shortfall; Kumaraswamy distribution

13.

Sovereign Risk Zones in Europe During and After the Debt Crisis

Number of pages: 30 Posted: 08 Aug 2018
Piraeus Bank, Athens University of Economics and Business, University of Brescia and University of Brescia
Downloads 46 (463,252)
Citation 2

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contagion, copula, credit default swaps, machine learning, regression trees, systemic risk

14.

European Sovereign Systemic Risk Zones

Number of pages: 87 Posted: 16 Mar 2016
Piraeus Bank, Athens University of Economics and Business, University of Brescia and University of Brescia
Downloads 39 (493,822)
Citation 2

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Credit default swaps, systemic risk, contagion, copula, regression trees

15.

Financial Symmetry and Moods in the Market

PLoS ONE 10(4): e0118224.
Number of pages: 21 Posted: 21 May 2014 Last Revised: 13 May 2015
University of Brescia, Université de Nice Sophia Antipolis - Laboratoire Jean-Alexandre Dieudonné and CES, Université Paris 1 Panthéon-Sorbonne
Downloads 39 (493,822)

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Agent-based modelling, Game theory, Ginzburg-Landau theory, Financial symmetry

16.

Tail Dependence of Eurozone Sovereign CDS Spreads

Number of pages: 19 Posted: 08 Aug 2018
Veni Arakelian, Roberto Savona and Marika Vezzoli
Piraeus Bank, University of Brescia and University of Brescia
Downloads 22 (587,300)

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copula, credit default swaps, tail dependence, loss portfolio distribution