4 citations · 7 across the 9 of their papers we have counts for
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q-fin.RM2020
Deep learning Profit & Loss
Pietro Rossi, Flavio Cocco, Giacomo Bormetti
Building the future profit and loss (P&L) distribution of a portfolio holding, among other assets, highly non-linear and path-dependent derivatives is a challenging task. We provid…
q-fin.RM2008★ 4 cited
Bayesian Analysis of Value-at-Risk with Product Partition Models
Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini +1
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and co…