2 citations · 2 across the 6 of their papers we have counts for
6 papers
Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling
Luca Spadafora, Francesca Sivero, Nicola Picchiotti
This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance…
The efficiency of Anderson-Darling test with limited sample size: an application to Backtesting Counterparty Credit Risk internal model
M. Formenti, L. Spadafora, M. Terraneo +1
This work presents a theoretical and empirical evaluation of Anderson-Darling test when the sample size is limited. The test can be applied in order to backtest the risk factors dy…
Value-at-Risk time scaling for long-term risk estimation
Luca Spadafora, Marco Dubrovich, Marcello Terraneo
In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for es…
Do your volatility smiles take care of extreme events?
L. Spadafora, G. P. Berman, F. Borgonovi
In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of…
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
L. Spadafora, G. P. Berman, F. Borgonovi
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C…
Magnetic Reversal Time in Open Long Range Systems
F. Borgonovi, G. L. Celardo, B. Goncalves +1
Topological phase space disconnection has been recently found to be a general phenomenon in isolated anisotropic spin systems. It sets a general framework to understand the emergen…