Zobrazeno 1 - 10
of 126
pro vyhledávání: '"Cherubini, Umberto"'
Autor:
Cherubini, Umberto, Neri, Paolo
We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to diversific
Externí odkaz:
http://arxiv.org/abs/1704.07235
Autor:
Cherubini, Umberto
Publikováno v:
In Journal of Economic Dynamics and Control December 2021 133
We introduce a new class of processes for the evaluation of multivariate equity derivatives. The proposed setting is well suited for the application of the standard copula function theory to processes, rather than variables, and easily enables to enf
Externí odkaz:
http://arxiv.org/abs/1607.01519
Autor:
Cherubini, Umberto, Mulinacci, Sabrina
Publikováno v:
In Fuzzy Sets and Systems 1 June 2021 412:27-40
Autor:
Cherubini, Umberto, Mulinacci, Sabrina
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all them. All
Externí odkaz:
http://arxiv.org/abs/1502.01918
Autor:
Carr, Peter, Cherubini, Umberto umberto.cherubini@unibo.it
Publikováno v:
Journal of Derivatives. Winter2022, Vol. 30 Issue 2, p74-93. 20p.
Autor:
Cherubini, Umberto, Mulinacci, Sabrina
Publikováno v:
In Applied Mathematics Letters January 2014 27:85-89