33 citations · 33 across the 2 of their papers we have counts for
3 papers
Systemic Risk in the European Insurance Sector
Giovanni Bonaccolto, Nicola Borri, Andrea Consiglio +1
This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsect…
Pricing sovereign contingent convertible debt
Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS sp…
A Bayesian Networks Approach to Operational Risk
V. Aquaro, M. Bardoscia, R. Bellotti +3
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted…