Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Gabriele Torri"'
Publikováno v:
Decisions in Economics and Finance
The paper considers the pricing of credit default swaps (CDSs) using a revised version of the credit risk model proposed in Cathcart and El-Jahel (2003). Default occurs either the first time a signaling process breaches a threshold barrier or unexpec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::96a284e0ec1f48f847f418661a3c150b
http://europepmc.org/articles/PMC8346788
http://europepmc.org/articles/PMC8346788
Publikováno v:
Computational Management Science. 17:549-567
The global financial crisis in 2008, and the European sovereign debt crisis in 2010, highlighted how credit risk in banking sectors cannot be analysed from a uniquely micro-prudential perspective, focused on individual institutions, but it has instea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a7f1dcbfe6424384ddd0439a8b0c8687
https://doi.org/10.1007/s10287-020-00385-2
https://doi.org/10.1007/s10287-020-00385-2
Autor:
Gabriele Torri, Rosella Giacometti
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef864d31628a3ef0ac434690a7b9a26d
https://doi.org/10.2139/ssrn.4018243
https://doi.org/10.2139/ssrn.4018243
Autor:
Gabriele Torri, Rosella Giacometti
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation. 117:106924
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::44c070454f8d9d5e5e8cd9b486ce4f90
https://doi.org/10.1016/j.cnsns.2022.106924
https://doi.org/10.1016/j.cnsns.2022.106924
Publikováno v:
SSRN Electronic Journal.
Systemic risk in the banking sector is usually associated with long periods of economic downturns and very large social costs. On one hand, shocks coming from correlated exposures towards the real economy may induce correlation in banks’ default pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5aa819d69fce577c2ca294e40eef42be
https://doi.org/10.2139/ssrn.3778199
https://doi.org/10.2139/ssrn.3778199
Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f8988c07a5f95496bbbf2bb3c40b676a
http://hdl.handle.net/10446/166961
http://hdl.handle.net/10446/166961
Autor:
Gabriele Torri, Vincenzo Russo
Publikováno v:
Computational Management Science. 16:275-295
In this paper, we analize a novel approach for calibrating the one-factor and the two-factor Hull–White models using swaptions under a market-consistent framework. The technique is based on the pricing formulas for coupon bond options and swaptions
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::701f021f4ae6d2709c1118abafbf8ed8
https://doi.org/10.1007/s10287-018-0323-z
https://doi.org/10.1007/s10287-018-0323-z
Publikováno v:
Journal of Economic Dynamics and Control. 127:104125
Measuring interconnectedness in a banking system to identify the potential transmission channels of systemic risk is a main issue for the analysis of financial stability. We develop a methodology based on conditional tail risk networks to assess the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5ad0fcb7434b9f9717e9d21373bbe0e
https://doi.org/10.1016/j.jedc.2021.104125
https://doi.org/10.1016/j.jedc.2021.104125
Network analysis is becoming a fundamental tool in the study of systemic risk and financial contagion in the banking sector. Still, the network structure must typically be estimated from noisy and aggregated data, as micro data on the status quo bank
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8dd468bd38c5f8859c24b5cc0dd157e5
http://hdl.handle.net/10446/125296
http://hdl.handle.net/10446/125296