I debiti sovrani nell'area Euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio
AbstractThe risk of default of sovereign bonds in the Euro area significantly changed during the Eurozone debt crisis. Mutual funds specialized in Euro area government bonds invest exactly in these assets and constitute a large share of the financial portfolio of Italian households. Their performance is usually expressed with respect to market-cap weighted benchmarks. We show how country weights in the benchmarks have changed during the last financial crisis, increasing the overall default risk. Investment in passively managed funds has thus increased the portfolio exposure to sovereign risk.
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Bibliographic InfoArticle provided by Istituto di Cultura Bancaria Francesco Parrillo in its journal Rivista Bancaria - Minerva Bancaria.
Volume (Year): (2011)
Issue (Month): 5-6 (november)
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mutual funds; sovereign risk; market-cap benchmarks;
Other versions of this item:
- Nicola Borri & Filippo Russo, 2011. "I debiti sovrani dell'area Euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio," Working Papers CASMEF 1105, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
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