Ricerc@Sapienza

The general goal of Enterprise Risk Management (ERM) processes is to
generate economic value through the coverage of firm business risk, on
the one hand, and by exploiting the positive side of uncertainty
conditions, on the other hand.
The increasing attention attributed to ERM in the creation of
economic value has led to even greater interactions between risk
management mechanisms and the corporate governance system.
In other words, in the last two decades, the relationships between

This paper deals with the theme of contagion in financial markets. At this aim, we develop
a model based on Mixed Poisson Processes to describe the abnormal returns of financial
markets of two considered countries. In so doing, the article defines the theoretical
conditions to be satisfied in order to state that one of them – the so-called leader –
exercises contagion on the others — the followers. Specifically, we employ an invariant
probabilistic result stating that a suitable transformation of a Mixed Poisson Process is still

This paper analyzes the effects of policy uncertainty on the stability of a monetary union. Focusing on peripheral countries, we study how uncertainty over the consequences of a possible exit affects regime switches. Applying game theory and a cost-benefit analysis, we model a regime switch as the endogenous result of a two-stage policy game. We find that the effects of uncertainty are not trivial. Unilateral exits are less probable, but contagion is more likely to be observed.