Zobrazeno 1 - 10
of 108
pro vyhledávání: '"Umberto Cherubini"'
Publikováno v:
Risk Management Magazine, Vol 16, Iss 1, Pp 14-18 (2021)
In this short note we briefly review the state of the art of the ongoing transition from interbank rates (IBORs) to alternative risk free rates, with a focus on LIBOR and EUR benchmark rates. This note is a reduced version of a position paper publish
Externí odkaz:
https://doaj.org/article/7aec3e53a41d47a5a6439fa779e6e8ec
Autor:
Umberto Cherubini, Marco Bianchetti
Publikováno v:
Risk Management Magazine, Vol 14, Iss 2, Pp 3-5 (2019)
nterbank rates (IBORs) play a fundamental role in the financial markets as contractual rates for loans, mortgages, derivatives and securities. Their reliability was discussed after the crisis because of opacity, low transaction volumes and high exper
Externí odkaz:
https://doaj.org/article/e476917ab2824c0781ddb26815de6e5d
Autor:
Sabrina Mulinacci, Umberto Cherubini
Publikováno v:
Methodology and Computing in Applied Probability. 23:143-163
In this paper we show how to extend a simple common shock model with Archimedean dependence of the hidden variables to the non-exchangeable case. The assumption is that the hidden risk factors are linked by a hierarchical Archimedean dependence struc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4f3d2b7a1acf9074b546f74e62dba30a
https://doi.org/10.1007/s11009-020-09816-8
https://doi.org/10.1007/s11009-020-09816-8
Autor:
Umberto Cherubini, Paolo Neri
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::294e97aca267ceec8e5ad5d18d5d62c1
https://doi.org/10.2139/ssrn.4192079
https://doi.org/10.2139/ssrn.4192079
Autor:
Umberto Cherubini, Daniele Maffeis
I concetti di scommessa e di probabilità sono legati a quello di informazione, come fatto di conoscenza e prerequisito di un consenso consapevole. Legittimare contratti dell’investitore senza corretta informazione da parte dell’intermediario –
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4094::871482cbfd50ce43364a167638920cd9
http://hdl.handle.net/11585/829007
http://hdl.handle.net/11585/829007
Autor:
Umberto Cherubini, Sabrina Mulinacci
We propose extensions and distorsion techniques to improve the flexibility of λ-fuzzy measures. As for extensions, we suggest to use the family of Archimedean t-conorms as generators of the fuzzy measures. As for distortions, we propose the composit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a13710bb22e34fc198f8a76fee4b2460
https://hdl.handle.net/11585/757175
https://hdl.handle.net/11585/757175
Autor:
Peter Carr, Umberto Cherubini
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2c27b5085df7d280cae66397f9764ba
https://doi.org/10.2139/ssrn.3995428
https://doi.org/10.2139/ssrn.3995428
Autor:
Umberto Cherubini, Peter Carr
Publikováno v:
SSRN Electronic Journal.
We generalize the Kelly criterion and the growth-optimal portfolio (GOP) concept beyond log-wealth maximization. We show that models of speculative price dynamics with time change require different compounding algebras leading to GOPs that do not coi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2b3e10915ee76af6acc7703dd84c0b88
https://doi.org/10.2139/ssrn.3529729
https://doi.org/10.2139/ssrn.3529729
Publikováno v:
SSRN Electronic Journal.
In this short note we briefly review the state of the art of the ongoing transition from interbank rates (IBORs) to alternative risk free rates, with a focus on LIBOR and EUR benchmark rates. This note is a reduced version of a position paper publish
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::43948df0a54c93ef5267122a8a995c8c
https://doi.org/10.2139/ssrn.3757940
https://doi.org/10.2139/ssrn.3757940
Publikováno v:
Risk Management Magazine, Vol 14, Iss 2, Pp 3-5 (2019)
nterbank rates (IBORs) play a fundamental role in the financial markets as contractual rates for loans, mortgages, derivatives and securities. Their reliability was discussed after the crisis because of opacity, low transaction volumes and high exper
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5c6d01f509d59e76d684384c6832739
https://doi.org/10.47473/2020rmm0023
https://doi.org/10.47473/2020rmm0023