1 citations · 1 across the 3 of their papers we have counts for
4 papers
Penalized Maximum Likelihood Inference of Core-Periphery Networks
Antonio Mosca, Piero Mazzarisi
Likelihood-based network models are often fitted under links' independence and low-order constraints, while empirical networks frequently exhibit systematic higher-order structures…
Hedging market risk and uncertainty via a robust portfolio approach
Adele Ravagnani, Mattia Chiappari, Andrea Flori +2
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a ro…
Spectral signatures of structural change in financial networks
Valentina Macchiati, Emiliano Marchese, Piero Mazzarisi +2
The level of systemic risk in economic and financial systems is strongly determined by the structure of the underlying networks of interdependent entities that can propagate shocks…
Interbank network reconstruction enforcing density and reciprocity
Valentina Macchiati, Piero Mazzarisi, Diego Garlaschelli
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This l…