The mathematical framework underlying the "scenarios" approach for derivate transactions by italian local authorities
The Proposal issued on September, 2009 by the Italian Ministry of Economy and Finance (MEF) for the regulation of derivatives that can be subscribed by Italian local Authorithies outlines the information that should be provided in the contracts in order to assure an approriate level of disclosure. The Proposal has introduced an approch based on so-called “scenarios” requiring the comparison between the corresponding proababilities. We present some comments on the mathematical framework underlying the “scenarios” approach for derivate transactions by Italian local Authorities, showing that it is suited to treat – in a mathematical consistent way – the joint distribution at maturity of the value of the original liability (“portafoglio finanziario iniziale”) and of the liability after the subscription of the derivative by the local Authorithy (“portafoglio strutturato”) only for a very particular set of cases.
|Date of creation:||Mar 2011|
|Contact details of provider:|| Postal: Via Silvio d'Amico 77, - 00145 Rome Italy|
Phone: +39 06 57114612
Fax: +39 06 57114771
Web page: http://host.uniroma3.it/dipartimenti/economia/it/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ebrahimi, Nader & Hamedani, G.G. & Soofi, Ehsan S. & Volkmer, Hans, 2010. "A class of models for uncorrelated random variables," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1859-1871, September.
When requesting a correction, please mention this item's handle: RePEc:rtr:wpaper:0127. 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: (Telephone for information)
If references are entirely missing, you can add them using this form.