3 citations · 5 across the 7 of their papers we have counts for
5 papers · 1 filter
Explicit Finite-Sum Tail Risk Measures for Hierarchical Market--Credit Copula Aggregation
Luisa Tibiletti, Simone Farinelli, Eric Dal Moro
Hierarchical copula models are widely used for aggregating market and credit risks across multi-level portfolio structures. Existing approaches often rely on Monte Carlo simulation…
Recursive Copula Aggregation for Market and Credit Portfolios
Luisa Tibiletti, Simone Farinelli, Eric Dal Moro
Risk aggregation is a central problem in financial risk management and regulatory capital assessment. While copula-based approaches are widely used due to their tractability and in…
When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage Markets in a Quantum Mechanical View
Simone Farinelli, Hideyuki Takada
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bu…
Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective
Simone Farinelli, Luisa Tibiletti
Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry i…
Two Models of Stochastic Loss Given Default
Simone Farinelli, Mykhaylo Shkolnikov
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses a…