4 papers
Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach
Michele Bonollo, Martino Grasselli, Gianmarco Mori +1
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measu…
Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
Michele Bonollo, Luca Di Persio, Luca Mammi +1
In recent years, the counterparty credit risk measure, namely the default risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regul…
A computational spectral approach to interest rate models
Luca Di Persio, Michele Bonollo, Gregorio Pellegrini
The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions…
A Quantization Approach to the Counterparty Credit Exposure Estimation
M. Bonollo, L. Di Persio, I. Oliva +1
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfi…