PUBBLICATIONS

Risk contributions of lambda quantiles, Quantitative Finance, 2022, 22(10); with Akif Ince and Silvana Pesenti. [PDF]

An axiomatization of Λ-quantiles, SIAM Journal on Financial Mathematics, 2022, 13(1); with Fabio Bellini. [ PDF]

A hybrid model for forecasting short-term electricity demand, Proceeding of the 2nd ACM International Conference on AI in Finance, 2021, forthcoming; with Maria Eleni Athanasopoulou, Justina Deveikyte, Alan Mosca and Alessandro Provetti. [PDF]

Backtesting Lambda value at risk, The European Journal of Finance, 2018, 24(13), 1075-1087; with Jacopo Corbetta. [PDF]

Lambda value at risk and regulatory capital: a dynamic approach to tail risk, Risks, 2018, 6(1), 17; with Asmerilda Hitaj and Cesario Mateus. [PDF]

On the properties of the Lambda value at risk: robustness, elicitability and consistency, Quantitative Finance, 2017, 17(11), 1735-1743; with Matteo Burzoni and Chiara Maria Ruffo. [PDF]

Scientific research measures, Journal of the Association for Information Science and Technology, 2016, 67(12), 3051-3063; with Marco Frittelli and Loriano Mancini. [PDF]

Risk measures on P(R) and value at risk with probability/loss function, Mathematical Finance, 2014, 24(3), 442-463; with Marco Frittelli and Marco Maggis. [ PDF]

Quasi-convex risk measures and acceptability Indices. Theory and Applications. Ph.D. Thesis. 2012.

WORK IN PROGRESS

Lambda quantile regression; with Fabio Bellini.

A new approach for backtesting risk measures; with Flavia Barsotti and Pedro Gurrola Perez.