3 papers
econ.GN2025
Central Bank Digital Currency, Flight-to-Quality, and Bank-Runs in an Agent-Based Model
Emilio Barucci, Andrea Gurgone, Giulia Iori +1
We analyse financial stability and welfare impacts associated with the introduction of a Central Bank Digital Currency (CBDC) in a macroeconomic agent-based model. The model consid…
q-fin.RM2025
Physical Climate Risk in Asset Management
Michele Azzone, Matteo Ghesini, Davide Stocco +1
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and product…
q-fin.MF2021
Short-time implied volatility of additive normal tempered stable processes
Michele Azzone, Roberto Baviera
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We exami…