7 citations · 7 across the 4 of their papers we have counts for
4 papers
Betting Around the Clock: Time Change and Long Term Model Risk
Umberto Cherubini
We investigate the performance of the Kelly rule in a setting in which the dynamics of the return is represented by a time change process. We find that in this general semi-marting…
Value-at-Risk Diversification of -stable Risks: The Tail-Dependence Puzzle
Umberto Cherubini, Paolo Neri
We consider the problem of risk diversification of -stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of…
Granger Independent Martingale Processes
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci +1
We introduce a new class of processes for the evaluation of multivariate equity derivatives. The proposed setting is well suited for the application of the standard copula function…
Systemic Risk with Exchangeable Contagion: Application to the European Banking System
Umberto Cherubini, Sabrina Mulinacci
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of obligors, a set of idiosy…