4 citations · 11 across the 13 of their papers we have counts for
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q-fin.MF2023
Measuring distribution risk in discrete models
Roberto Fontana, Patrizia Semeraro
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alter…
q-fin.MF2019
Model Risk in Credit Risk
Roberto Fontana, Elisa Luciano, Patrizia Semeraro
The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the…