I debiti sovrani nell'area Euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio
The 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.
Volume (Year): (2011)
Issue (Month): 5-6 (november)
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:rvs:bancar:11_5_4. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefano Marzioni)
If references are entirely missing, you can add them using this form.