Autori: Di Palo, Cinzia , Fava, Pierluigi
Titolo: Analisi stocastica di una emissione in valuta
Periodico: Annali del Dipartimento di metodi e modelli per l'economia, il territorio e la finanza
Anno: 2022 - Volume: 23 - Pagina iniziale: 1 - Pagina finale: 12

This study analyses a potential investment by a possible pension investor in gov-ernment bonds issued in foreign currency under a risk-return perspective. In par-ticular, the government bond under study is the thirty-year Italy Govt ISIN US465410CC03, denominated in US dollars. By means of stochastic processes, the trend in the exchangerate between the two currencies the dollar and the euro is simulated to assess its impact on the yield to maturity of the government bond considered. The analysis involves determining the probabilities of obtaining a negative yield in the different simulation scenarios. In addition, there are also de-termined the probabilities of obtaining returns to maturity lower than those ob-tainable with a similar investment instrument denominated in euro


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SICI: 2385-0825(2022)23<1:ASDUEI>2.0.ZU;2-K
Testo completo: https://rosa.uniroma1.it/rosa02/annali_memotef/article/view/1410/1333

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