Using the Black and Litterman framework for stress test analysis in asset management

von Giacometti, Rosella
Veröffentlicht in The journal of asset management (2010)

Measuring european banks' exposure to climate risk

von Giacchetta, Gianandrea
Veröffentlicht in Review of corporate finance (2024)

Embedded option pricing on interest-rate sensitive securities in the Italian market

von Giacometti, Rosella
Veröffentlicht in Operations research models in quantitative finance (1994)

Credit default swaps : implied ratings versus official ones

von Castellano, Rosella
Veröffentlicht in 4OR (2012)

Improving portfolio performances using options strategies

von Castellano, Rosella
Veröffentlicht in Financial modelling (2000)

Editorial: 14th International Conference on Computational Management Science

von Giacometti, Rosella
Veröffentlicht in Computational Management Science (2019)

Risk measures for asset allocation models

von Giacometti, Rosella
Veröffentlicht in Risk measures for the 21st century (2004)

Estimating the joint probability of default using credit default swap and bond data

von Pianeti, Riccardo
Veröffentlicht in The journal of fixed income (2012)

Impact of different distributional assumptions in forecasting Italian mortality rates

von Giacometti, Rosella
Veröffentlicht in Investment management and financial innovations (2009)

Robust and sparse banking network estimation

von Torri, Gabriele
Veröffentlicht in European journal of operational research (12018)

Network tail risk estimation in the European banking system

von Torri, Gabriele
Veröffentlicht in Journal of economic dynamics & control (2021)

Sparse precision matrices for minimum variance portfolios

von Torri, Gabriele
Veröffentlicht in Computational Management Science (2019)

Portfolio selection with uncertainty measures consistent with additive shifts

von Giacometti, Rosella
Veröffentlicht in Prague economic papers (2015)

Factor decomposition of the Eurozone sovereign CDS spreads

von Fabozzi, Frank J.
Veröffentlicht in Journal of international money and finance (2016)

Intensity-based framework for surrender modeling in life insurance

von Russo, Vincenzo
Veröffentlicht in Insurance / Mathematics & economics (2017)

Market implied volatilities for defaultable bonds

von Russo, Vincenzo
Veröffentlicht in Annals of operations research ; volume 275, numbers 2 (April 2019) (2019)

Joint tails impact in stochastic volatility portfolio selection models

von Bonomelli, Marco
Veröffentlicht in Stochastic optimization: theory and applications (2020)

Stable distributions in the Black-Litterman approach to asset allocation

Veröffentlicht in Quantitative fund management (2009)

A three-factor model for mortality modeling

von Russo, Vincenzo
Veröffentlicht in North American actuarial journal (2015)

A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates

Veröffentlicht in Insurance / Mathematics & economics (2012)