Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Annalisa Di Clemente"'
Autor:
Annalisa Di Clemente, Claudio Romano
Publikováno v:
Frontiers in Applied Mathematics and Statistics, Vol 7 (2021)
Copula functions can be utilized in financial applications to determine the dependence structure of the financial asset returns in the portfolio. Empirical evidence has proved the inadequacy of the multi-normal distribution, traditionally adopted to
Externí odkaz:
https://doaj.org/article/f5db1e244e9e4bc3812742863f5283ee
Autor:
Annalisa Di Clemente
Publikováno v:
Journal of Risk and Financial Management
Volume 13
Issue 6
Journal of Risk and Financial Management, Vol 13, Iss 129, p 129 (2020)
Volume 13
Issue 6
Journal of Risk and Financial Management, Vol 13, Iss 129, p 129 (2020)
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the po
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fdea4a68173b28c18091b8f81926cdaa
http://hdl.handle.net/11573/1418783
http://hdl.handle.net/11573/1418783
Autor:
Annalisa Di Clemente
Publikováno v:
Economic Notes. 47:69-112
In this paper, we quantify the contribution to systemic risk of a single financial institution by utilizing a analytical framework based on the principles of Extreme Value Theory (EVT) for modelling the marginal distributions and on the properties of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08fddc4949e3809aa3152a5da756f844
https://doi.org/10.1111/ecno.12095
https://doi.org/10.1111/ecno.12095
Autor:
Annalisa Di Clemente
Publikováno v:
Economic Notes. 44:29-55
In this work we propose a new prospective model for testing the economic hedge effectiveness. Our model is derived from the initial approach based on the measure of the relative risk reduction (RRR) where the risk is expressed by the standard deviati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc9876691dc768390a4c7f23d3b72214
https://doi.org/10.1111/ecno.12029
https://doi.org/10.1111/ecno.12029
Autor:
Annalisa Di Clemente
Publikováno v:
Economic Notes. 43:167-191
The aim of this work is to explore how importance sampling (IS) techniques may improve internal banking portfolio optimization models. The current economic downturn contributes to an increase in the credit risk amount of the loan portfolios reducing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33e6c6de437f618e4fbeb1e1e52259f0
https://doi.org/10.1111/ecno.12019
https://doi.org/10.1111/ecno.12019
Autor:
Annalisa Di Clemente
Publikováno v:
International Business Research. 12:35
This research examines and compares the performances in terms of systemic risk ranking for three different systemic risk metrics based on daily frequency publicly available data, specifically: Marginal Expected Shortfall (ES), Component Expected Shor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a467ecdb39af90d1a95b4b8cc95a34f
https://doi.org/10.5539/ibr.v12n1p35
https://doi.org/10.5539/ibr.v12n1p35
Autor:
Annalisa Di Clemente
In this paper a simple and innovative model for measuring more accurately the credit tail risk of a banking book is presented. This is a Monte Carlo simulation model in which the credit loss severity (LGD) is a stochastic variable and it is correlate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28438cd8ea3892408c478a35ae896b3e
http://hdl.handle.net/11573/543743
http://hdl.handle.net/11573/543743
Autor:
Annalisa Di Clemente
Financial Risk Aggregation: A Simulative Study - Banks are exposed to many different risk types due to their business activities, such as credit risk, market risk and operational risk. The task of the risk management division is to measure all these
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9205e85992397443d60ca5b628596de7
http://hdl.handle.net/11573/124882
http://hdl.handle.net/11573/124882