Roberto Savona

University of Brescia

C/da S. Chiara nr. 50

25122 Brescia

Italy

SCHOLARLY PAPERS

13

DOWNLOADS
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1,474

CITATIONS
Rank 36,180

SSRN RANKINGS

Top 36,180

in Total Papers Citations

5

Scholarly Papers (13)

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 278 (85,287)

Abstract:

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 140 (165,162)

Abstract:

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 181 (122,424)

Abstract:

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
European Central Bank (ECB) and University of Brescia
Downloads 162 (141,726)
Citation 1

Abstract:

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

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 105 (206,003)
Citation 1

Abstract:

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 (383,768)
Citation 1

Abstract:

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 and University of Brescia
Downloads 133 (162,844)
Citation 1

Abstract:

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

6.

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
European Central Bank (ECB) and University of Brescia
Downloads 97 (210,574)
Citation 1

Abstract:

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

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 69 (269,380)
Citation 1

Abstract:

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 27 (402,154)
Citation 1

Abstract:

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
Downloads 0
Citation 1

Abstract:

8.

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 60 (272,941)

Abstract:

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

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 35 (315,409)

Abstract:

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

10.

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 24 (378,413)

Abstract:

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

11.

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 17 (410,304)

Abstract:

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

12.

European Sovereign Systemic Risk Zones

Number of pages: 87 Posted: 16 Mar 2016
Panteion University of Athens - Department of Economic and Regional Development, Athens University of Economics and Business, University of Brescia and University of Brescia
Downloads 0 (415,311)

Abstract:

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

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 and Prometeia
Downloads 0 (386,894)

Abstract:

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