Rosella Giacometti

Available identifiers

zbMath Open giacometti.rosellaMaRDI QIDQ224433

List of research outcomes

Publication	Date of Publication	Type
Penalized enhanced portfolio replication with asymmetric deviation measures	2024-09-03	Paper
Financial contagion in banking networks with community structure	2022-12-20	Paper
Network tail risk estimation in the European banking system	2021-11-16	Paper
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models	2021-06-02	Paper
Joint tails impact in stochastic volatility portfolio selection models	2021-01-06	Paper
Market implied volatilities for defaultable bonds	2019-10-15	Paper
Sparse precision matrices for minimum variance portfolios	2019-08-23	Paper
A Three-Factor Model for Mortality Modeling	2019-05-28	Paper
Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming	2019-01-25	Paper
Structural credit risk models with subordinated processes	2018-10-10	Paper
Estimating the probability of multiple EU sovereign defaults using CDS and bond data	2018-09-19	Paper
Robust and sparse banking network estimation	2018-05-31	Paper
Intensity-based framework for surrender modeling in life insurance	2017-01-31	Paper
Bayesian estimation of truncated data with applications to operational risk measurement	2015-04-08	Paper
Credit default swaps: implied ratings versus official ones	2013-02-06	Paper
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates	2012-04-18	Paper
A stochastic model for mortality rate on italian data	2011-09-18	Paper
Calibrating affine stochastic mortality models using term assurance premiums	2011-08-01	Paper
A stochastic optimization model for gas retail with temperature scenarios and oil price parameters	2010-04-23	Paper
https://portal.mardi4nfdi.de/entity/Q5324636	2009-08-03	Paper
A nonparametric model for analysis of the EURO bond market	2008-10-24	Paper
Stable distributions in the Black–Litterman approach to asset allocation	2007-10-22	Paper
On pricing of credit spread options	2005-01-12	Paper
Risk factor analysis and portfolio immunization in the corporate bond market	2004-11-22	Paper
Performance of a hedged stochastic portfolio model in the presence of extreme events	2002-01-14	Paper
Bond portfolio management with repo contracts: the Italian case	2001-01-17	Paper
On optimal design of treasury bonds	1999-07-20	Paper

Research outcomes over time

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