Principal

@Prometeia - Wealth and Asset Management


Main areas of interest:

ESG and portfolio analysis (e.g., asset pricing models) & scenario analysis (physical & transition risks); ESG and credit rating models; Extreme climate events and impact on portfolios and credit risk; Statistical models (including, extreme events or imbalanced data, spatial models, bivariate copula-based models, generalised additive models)


Selected Publications

Zanin L., Calabrese R., and Thorburn C.I .(2024). Climate stress testing for mortgage default probability. International Review of Financial Analysis, in press

Prosperi L. and Zanin L. (2024). A modelling framework for equity portfolio projections under different carbon price scenarios. Journal of Climate Finance,  6, 100033

Calabrese R., Dombrowski T., Mandel A., Pace R.k., and Zanin L. (2024). Impacts of extreme weather events on mortgage risks and their evolution under climate change: A case study on Florida. European Journal of Operational Research, 314, 377-392

Zanin L. (2023). A flexible estimation of sectoral portfolio exposure to climate transition risks in the European stock market. Journal of Behavioral and Experimental Finance ,  39, 100824

Zanin L. (2022). Estimating the effects of ESG scores on corporate credit ratings using multivariate ordinal logit regression. Empirical Economics, Vol. 62(6), 3087-3118

Calabrese R, Osmetti SA, and Zanin L. (2019). A joint scoring model for peer-to-peer and traditional lending: a bivariate model with copula dependence. Journal of the Royal Statistical Society Series A, Vol.  182, Issue 4, 1163-1188 - Special Issue on Credit Risk Modelling.

Professional Associations:

Disclaimer: The opinions expressed herein and in the papers are those of the author(s) and do not reflect those of the institution of affiliation 

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