3 papers
q-fin.ST2026
Scenario Generation for Time Series and Curves: A Comparison of Nonparametric and Semiparametric Bootstrap
Nicola Baldoni, Michele Sparviero, Lorenzo Viola
Generating stochastic trajectories for asset classes is an increasingly relevant task in quantitative finance. Traditional approaches, such as the stationary bootstrap, preserve by…
q-fin.RM2026
Reverse Stress Testing for Multivariate Scenarios: A Conditional Framework for Stressed Time Series
Michele Sparviero, Lorenzo Viola
This paper develops a methodological framework for reverse stress testing (RST) in which a multivariate stress scenario, coherent with the empirical dependence structure of a marke…
q-fin.RM2025
Physical Climate Risk in Asset Management
Michele Azzone, Matteo Ghesini, Davide Stocco +1
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and product…