7 citations · 7 across the 4 of their papers we have counts for
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q-fin.MF2026
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…
q-fin.MF2015★ 7 cited
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…