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A hierarchical copula-based world-wide valuation of sovereign risk

Bernardi, Enrico; Falangi, Federico; Romagnoli, Silvio - In: Insurance / Mathematics & economics 61 (2015), pp. 155-169

Persistent link: https://www.econbiz.de/10010515899

A clusterized copula-based probability distribution of a counting variable for high-dimensional problems

Bernardi, Enrico; Romagnoli, Silvia - In: The journal of credit risk : published quarterly by … 9 (2013) 2, pp. 3-26

Persistent link: https://www.econbiz.de/10009781092

A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio

Barbi, Massimiliano - 2015

We propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum-VaR and the minimum-expected shortfall hedge ratios as special cases....

Persistent link: https://www.econbiz.de/10013035984

The dependence structure of running maxima and minima : results and option pricing applications

Cherubini, Umberto; Romagnoli, Silvia - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 35-58

Persistent link: https://www.econbiz.de/10003955657

Multivariate digital options with memory

Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 7/8, pp. 649-660

Persistent link: https://www.econbiz.de/10009509839

Computing the volume of n-dimensional copulas

Cherubini, Umberto; Romagnoli, Silvia - In: Applied mathematical finance 16 (2009) 3/4, pp. 307-314

Persistent link: https://www.econbiz.de/10003916180

A copula-based quantile risk measure approach to estimate the optimal hedge ratio

Barbi, Massimiliano; Romagnoli, Silvia - In: The journal of futures markets 34 (2014) 7, pp. 658-675

Persistent link: https://www.econbiz.de/10010507942

A copula-based model of the term structure of CDO tranches

Cherubini, Umberto; Mulinacci, Sabrina; Romagnoli, Silvia - In: Applied quantitative finance, (pp. 69-81). 2009

Persistent link: https://www.econbiz.de/10003745952

A generalized approach to optimal hedging with option contracts

Bajo, Emanuele; Barbi, Massimiliano; Romagnoli, Silvia - In: The European journal of finance 21 (2015) 7/9, pp. 714-733

Persistent link: https://www.econbiz.de/10011302047

Diamonds and precious metals for reduction of portfolio tail risk

Barbi, Massimiliano; Geman, Hélyette; Romagnoli, Silvia - In: Applied economics 52 (2020) 26, pp. 2841-2861

Persistent link: https://www.econbiz.de/10012221456