2 papers
q-fin.ST2021
Randentropy: a software to measure inequality in random systems
Guglielmo D'Amico, Stefania Scocchera, Loriano Storchi
The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quant…
q-fin.CP2019
A copula based Markov Reward approach to the credit spread in European Union
Guglielmo D'Amico, Filippo Petroni, Philippe Regnault +2
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial ris…