Volatility cycle and leverage cycle relationship

Vaccaro, Francesco (A.A. 2021/2022) Volatility cycle and leverage cycle relationship. Tesi di Laurea in Fixed income, credit and derivatives, Luiss Guido Carli, relatore Alberto Adolfo Cybo-Ottone, pp. 55. [Master's Degree Thesis]

PDF (Full text)
Download (2MB) | Preview


Cyclesc Volatility Cycle. Leverage cycle. Analytical and quantitative analysis' structure. Description of the variable used. Econometric approach through OLS regression. Case study. USA. UK. China. Europe. Credit heatmaps and interest rates.


Bibliografia: pp. 44-46.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Fixed income, credit and derivatives
Thesis Supervisor: Cybo-Ottone, Alberto Adolfo
Thesis Co-Supervisor: Borri, Nicola
Academic Year: 2021/2022
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 24 Jan 2023 13:39
Last Modified: 24 Jan 2023 13:39
URI: https://tesi.luiss.it/id/eprint/34706


Downloads per month over past year

Repository Staff Only

View Item View Item