ASSET - Asset and Risk Management

Unit Directors: Massimo Guidolin & Massimiliano Marcellino

Asset and Risk Management – ASSET research unit aims at forecasting prices and returns of financial markets, in order to allow policy makers to take better decisions and to validate and find new methodologies.

The unit has been focusing on the following topics:

• cryptocurrencies as an asset class: the econometrics and asset pricing of crypto returns;
• big-data, sentiment-driven indicators in asset pricing and portflio selection;
• segmentation and local pricing factors in the commodities market;
• modelling and forecasting regime shifts in the dynamic relationship between  bond base and cds (credit default swaps) premia;
• measuring and modelling the dynamics of measures of market risk aversion and its effects on international long-horizon portfolio decisions;
• the effects on corporate financial decisions and the impact on cross-sectional prices of political tension and international conflict;
• forecasting asset returns taking into account of climate change and biodiversity risk dynamics;
• the cross-sectional asset pricing and portfolio allocation implications of ESG rating evolution and of potential green-washing effects;
• machine learning and large language model in financial forecasting and its economic value;
• measuring economic and financial uncertainty and their effects on the economy and on financial markets;
• development and assessment of models with time-varying volatility for risk assessment.