Prohlížení dle autora "Torri, Gabriele"
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A revised version of the Cathcart & El-Jahel model and its application to CDS market
Radi, Davide; Hoang, Vu Phuong; Torri, Gabriele; Dvořáčková, Hana (Decisions in Economics and Finance. 2021.) -
Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo; Torri, Gabriele (Computational Management Science. 2019, vol. 16, issue 1-2, special issue, p. 275-295.) -
Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach
Torri, Gabriele; Radi, Davide; Dvořáčková, Hana (Finance Research Letters. 2022, vol. 47, art. no. 102718.) -
Financial contagion in banking networks with community structure
Torri, Gabriele; Giacometti, Rosella (Communications in Nonlinear Science and Numerical Simulation. 2023, vol. 117, art. no. 106924.) -
Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš (Journal of Economic Dynamics and Control. 2021, vol. 127, art. no. 104125.) -
Network Theory in Finance: Applications to Financial Contagion Analysis and Portfolio Optimization
Torri, Gabriele (Disertační práce, 2019) -
Penalized enhanced portfolio replication with asymmetric deviation measures
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra (Annals of Operations Research. 2023.) -
Risk attribution and interconnectedness in the EU via CDS data
Giacometti, Rosella; Torri, Gabriele; Farina, G.; De Giuli, M. E. (Computational Management Science. 2021, vol. 17, issue 4, p. 549-567.) -
Robust and sparse banking network estimation
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra (European Journal of Operational Research. 2018, vol. 270, issue 1, p. 51-65.) -
Sparse precision matrices for minimum variance portfolios
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra (Computational Management Science. 2019, vol. 16, issue 3, p. 375-400.) -
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
Giacometti, Rosella; Torri, Gabriele; Paterlini, S. (Quantitative Finance. 2020.)