Analisi e progettazione di un sistema di misure quantitative per il monitoraggio dei rischi finanziari delle Garanzie d’Origine

Abstract

The aim of this work focuses on the risks arising from the emerging market of Guarantees of Origin (GO). In recent years, in fact, traded volumes of these electronic certifications have increased, although the markets are yet incomplete and not very transparent. Information is limited and there is no evidence of specific studies nor well-established regulation for risk assessment. For this reason, the dissertation suggests a risk management framework, useful for companies in the new GO trading business. To achieve this objective, different methodologies for estimating market, liquidity and counterparty risks are proposed. These must be considered as a part of an overall evaluation system and not as stand-alone approaches. Since time series available are rather short and characterized by constant prices over a long period of time, specific quantitative methodologies are presented to measure and prudently manage risks.

Keywords

• garanzie d’origine (go)
• risk management platform
• value-at-risk (var)
• expected shortfall (es)
• monte carlo method
• garch
• sabr
• kmv model