Roberto Savona

University of Brescia - Department of Economics and Management

Contrada Santa Chiara, 50

BRESCIA , BS 25122

Italy

SCHOLARLY PAPERS

19

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2,647

SSRN CITATIONS
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Top 24,003

in Total Papers Citations

39

CROSSREF CITATIONS

12

Scholarly Papers (19)

1.
Downloads 499 (106,934)
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 - Department of Economics and Management
Downloads 320 (175,603)
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 - Department of Economics and Management
Downloads 179 (310,192)
Citation 2

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

2.

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

Journal of Financial Econometrics
Number of pages: 74 Posted: 15 Apr 2020 Last Revised: 21 Jun 2022
Pierluigi Balduzzi, Roberto Savona and Alessi Lucia
Boston College - Carroll School of Management, University of Brescia - Department of Economics and Management and Joint Research Center of the European Commission
Downloads 262 (217,387)
Citation 1

Abstract:

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macroeconomic fundamentals, CDS spreads, LASSO

3.

Hedge Fund Systemic Risk Signals

CAREFIN Research Paper No. 19/2010
Number of pages: 47 Posted: 02 Apr 2011
Roberto Savona
University of Brescia - Department of Economics and Management
Downloads 240 (236,970)
Citation 1

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

4.

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 - Department of Economics and Management
Downloads 229 (247,955)

Abstract:

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

5.

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 - Department of Economics and Management and University of Brescia
Downloads 203 (277,408)
Citation 1

Abstract:

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

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 - Department of Economics and Management and University of Brescia
Downloads 110 (460,693)
Citation 2

Abstract:

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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 - Department of Economics and Management and University of Brescia
Downloads 54 (705,166)
Citation 7

Abstract:

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

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: 17 Nov 2021
Gianni Amisano and Roberto Savona
Board of Governors of the Federal Reserve System and University of Brescia - Department of Economics and Management
Downloads 134 (394,831)

Abstract:

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

8.

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 - Department of Economics and Management
Downloads 128 (409,120)

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Italian mutual funds, Performance, Tax-distortions

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 - Department of Economics and Management and Epsilon Associati Sgr S.p.A.
Downloads 111 (455,154)

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

10.

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 - Department of Economics and Management and University of Brescia
Downloads 104 (477,093)
Citation 2

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

11.

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 - Department of Economics and Management
Downloads 102 (483,469)

Abstract:

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

12.

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 - Department of Economics and Management and University of Brescia
Downloads 96 (503,368)
Citation 2

Abstract:

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

13.

Credit Expected Shortfall with Time Varying Recovery Risk

Number of pages: 28 Posted: 29 Oct 2015
Roberto Savona and Mattia Raudaschl
University of Brescia - Department of Economics and Management and Prometeia
Downloads 75 (584,806)

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

14.

Bank Business Models, Negative Policy Rates, and Prudential Regulation

Number of pages: 55 Posted: 12 Apr 2021
Roberto Savona
University of Brescia - Department of Economics and Management
Downloads 61 (652,007)

Abstract:

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15.

European Sovereign Systemic Risk Zones

Number of pages: 87 Posted: 16 Mar 2016
Piraeus Bank, Athens University of Economics and Business, University of Brescia - Department of Economics and Management and University of Brescia
Downloads 61 (652,007)
Citation 2

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

16.

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 - Department of Economics and Management, Université de Nice Sophia Antipolis - Laboratoire Jean-Alexandre Dieudonné and CES, Université Paris 1 Panthéon-Sorbonne
Downloads 61 (652,007)

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

17.

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 - Department of Economics and Management and University of Brescia
Downloads 49 (721,419)

Abstract:

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

18.

Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19

FEEM Working Paper No. 26.2021
Number of pages: 48 Posted: 21 Oct 2021
Davide Bazzana, Michele Colturato and Roberto Savona
University of Brescia - Department of Economics and Management, University of Pavia - Department of Mathematics and University of Brescia - Department of Economics and Management
Downloads 39 (789,969)
Citation 1

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Agent-Based Model, Representativeness, Unprecedented Events

19.

Gas Price Caps and Volatility Transmission in Commodity and Equity Markets

Number of pages: 95 Posted: 12 Feb 2024
Corrado Botta, Roy Cerqueti and Roberto Savona
Bocconi University, University Sapienza Rome and University of Brescia - Department of Economics and Management
Downloads 29 (870,621)

Abstract:

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Gas Price, Price-cap mechanism, Volatility spillover, Commodity prices, Equity markets