4 papers
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…
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…
A shortcut to sign Incremental Value-at-Risk for risk allocation
Dirk Tasche, Luisa Tibiletti
Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and bet…