We cannot always do great things, but we can do small things with great love. Mother Teresa.
We cannot always do great things, but we can do small things with great love. Mother Teresa.
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.