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, Vol 95(Part B) 103497
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:
Member of the Italian Statistical Society
Member of the American Statistical Association
Member of the Society for Experimental Finance
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
You can find me:
