GIACOMETTI, Rosella Statistiche

GIACOMETTI, Rosella  

Dipartimento di Scienze Aziendali  

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Data di pubblicazione Titolo Autore/i Tipologia Documento allegato
1-gen-2021 Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models Giacometti, Rosella; Torri, Gabriele; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2020 Joint tails impact in stochastic volatility portfolio selection models Bonomelli, Marco; Giacometti, Rosella; ORTOBELLI LOZZA, Sergio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2020 Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2019 Sparse precision matrices for minimum variance portfolios Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2019 Systemic risk attribution in the EU Farina, Gianluca; Giacometti, Rosella; De Giuli, M. E. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2018 Robust and sparse banking network estimation Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2017 Intensity-based framework for surrender modeling in life insurance Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2016 Factor decomposition of the Eurozone sovereign CDS spreads Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2015 A Three-Factor model for mortality modeling Russo, Vincenzo; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2015 Estimating the probability of multiple EU sovereign defaults using CDS and bond data Pianeti, Riccardo; Giacometti, Rosella 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2014 Bayesian estimation of truncated data with applications to operational risk measurement Zhou, Xiaoping; Giacometti, Rosella; Fabozzi, FRANK J.; Tucker, ANN H. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2012 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model Kim, YOUNG SHIN; Giacometti, Rosella; Rachev, SVETLOZAR T.; Fabozzi, FRANK J.; Mignacca, Domenico 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2011 Calibrating affine stochastic mortality models using term assurance premiums Russo, Vincenzo; Giacometti, Rosella; ORTOBELLI LOZZA, Sergio; Rachev, Svetlozar Todorov; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2009 Impact of different distributional assumptions in forecasting Italian mortality rates Giacometti, Rosella; Bertocchi, Maria; ORTOBELLI LOZZA, Sergio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2008 Stable distributions in the Black-Litterman approach to asset allocation Giacometti, Rosella; Rachev, SVETLOZAR TODOROV; Bertocchi, Maria; Fabozzi, FRANK J. 1.2 Contributi in volume - Book chapters::1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays
1-gen-2008 Aggregation issues in operational risk Giacometti, Rosella; Rachev, Svetlozar Todorov; Chernobai, Anna; Bertocchi, Maria 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2007 Stable distributions in the Black-Litterman approach to asset allocation Giacometti, Rosella; Bertocchi, Maria; Rachev, Svetlozar Todorov; Fabozzi, Frank 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2005 Risk factor analysis and portfolio immunization in the corporate bond market Bertocchi, Maria; Giacometti, Rosella; Zenios, Stavros A. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2005 On pricing of Credit spread options Giacometti, Rosella; Teocchi, Mariangela 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2003 A nonparametric model for analysis of the EURO bond market Abaffy, Jozsef; Bertocchi, Maria; Dupacova, Jitka; Giacometti, Rosella; Huskova, Marie; Moriggia, Vittorio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays