Corporate Risk Stratification through an Interpretable Autoencoder-based Model (with Alessandro Giuliani, Salvatore Carta, Gianmarco Addari, and Alessandro Sebastian Podda) Computers and Operations Research, 2025
Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19 (with Davide Bazzana and Michele Colturato), Finance Research Letters, Volume 56, September 2023, 104085.
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-time Macro Fundamentals, and CDS Spreads (with Pierluigi Balduzzi and Lucia Alessi), Journal of Financial Econometrics, Volume 21, Issue 5, Autumn 2023, 1728–1758.
"Bank business models, negative policy rates, and prudential regulation", Annals of Finance, 2021.
“Taking the Right Course Navigating the ERC Universe” (with Cesare Orsini), Journal of Asset Management, 2019, 20, 157–174.
“Sovereign Risk Zones in Europe During and After the Debt Crisis” (with Veni Arakelian, Petros Dellaportas and Marika Vezzoli), Quantitative Finance, 2019, 19(6), 961–980.
"Mutual Funds Dynamics and Economic Predictors" (with Gianni Amisano), Journal of Financial Econometrics 15(2), 2017, 302-330.
“Danger Zones for Banking Crises in Emerging Markets” (with Paolo Manasse and Marika Vezzoli), International Journal of Finance & Economics, 2016, forthcoming.
“Sovereign and Hedge Fund Systemic Risks” (with Enrico Ciavolino), Journal of Alternative Investments, 2016, Spring 2016, Vol. 18, No 4, pp: 98-108.
“Corporate Default Prediction Model Averaging: A Normative Linear Pooling Approach” (with Silvia Figini and Marika Vezzoli), Intelligent Systems in Accounting, Finance and Management, Vol. 23, Issue 1-2, 6-20.
“Financial Symmetry and Moods in the Market” (with Maxence Soumare, Jorgen Vitting Andersen), PLoS ONE, 10(4): e0118224, 2015, 1-21.
“Detecting Early Warnings for Hedge Fund Contagion”, Bankers, Markets and Investors, Number 129, March-April 2014, 60-73.
“Hedge Fund Systemic Risk Signals”, European Journal of Operational Research, 2014, 236, 282-291.
“Risk and Beta Anatomy in the Hedge Fund Industry”, The European Journal of Finance, 2014, 20 (1), 1-32.
“Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals” (with Vezzoli, M.), Oxford Bulletin of Economics and Statistics, 77 (1), 2015, 66-92.
“Multidimensional Distance to Collapse Point and Sovereign Default Prediction” (with Marika Vezzoli), Intelligent Systems in Accounting, Finance and Management, 2012, Volume 19, number 4, 205-228.
“Tax-induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy”, Economic Notes, 35 (2) 2006, 173-202.
“Do Mutual funds Styles Reflect a Country-Specific Investment Philosophy? The Italian Case”, Applied Financial Economics, 16 (4) 2006, 303-318.
Dynamical Corporate Finance – An Equilibrium Approach (with Umberto Sagliaschi), Springer – Contributions to Finance and Accounting, 2021.
Systemic Risk Tomography – Signals, Measurement and Transmission Channels (edited book with M. Billio and Loriana Pelizzon), Elsevier-ISTE, 2017.
Banking Book – Misurazione e gestione dei rischi finanziari (with M. Raudaschl), LUISS University Press, Roma, 2015, 156 pp.
Gli hedge fund – Rendimento, rischio e valutazione della performance (with I. Basile), Bancaria Editrice, Roma, 2007, 176 pp.
Tail Dependence of Eurozone Bond Yields and Sovereign CDS Spreads (with Veni Arakelian and Marika Vezzoli), in (eds. Marco Corazza, René Garcia, Faisal Shah Khan, Davide La Torre, and Hatem Masri) Artificial Intelligence and Beyond for Finance, World Scientific, pp. 265-287 (2024).
“Machine learning for financial stability” (with Lucia Alessi), in (eds.) Sergio Consoli, Diego Reforgiato Recupero, Michaela Saisana, Data Science for Economics and Finance – Methodologies and Applications, Springer, 2021, 65-87.
“Mutual Fund Risk” (with Oreste Auleta and Filippo Stefanini), in eds. H. Kent Baker, Greg Filbeck, Halil Kiymaz, Mutual Funds - Building Blocks for Investment Portfolios, Oxford University Press, 2016, 380-398.
“Systemic Risk: Measures and Warnings” (with Monica Billio and Loriana Pelizzon), in (eds.) Billio M., L. Pelizzon, R. Savona. Systemic Risk Tomography – Signals, Measurement and Transmission Channels, ISTE-Elsevier, 2017, xi-xxi.
“Danger Zones For The Financial System” (with Paolo Manasse and Marika Vezzoli), in (eds.) Billio M., L. Pelizzon, R. Savona. Systemic Risk Tomography – Signals, Measurement and Transmission Channels, ISTE-Elsevier, 2017, 169-190.
“Debt Crisis Indicators of Emerging Markets vs. Eurozone Economies” (with Marika Vezzoli and Enrico Ciavolino), in (eds.) Sam Wilkin. Country and Political Risk (2nd edition). London: Risk Books, 2015.
“Measuring Systemic Risk From Country Fundamentals: A Data Mining Approach” (with Marika Vezzoli), in eds. When, C., Hoppe, C., Gregoriou, G. N. Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Elsevier, 2012, 223-240.
“Hedge Fund Cloning Through State Space Models”, in eds. Gregoriou, G.N. and M. Kooli. Hedge Fund Replication, Palgrave-MacMillan December, 2011, 106-118.
“Asset-Based Style Factors”, in eds. Greg N. Gregoriou, Encyclopedia of Alternative Investments, Chapman Hall-CRC/Taylor Francis Group, 2008, 29-30.
“Performance Idiosyncrasy in the Italian Mutual Fund Industry”, in eds. Greg N. Gregoriou, Performance of Mutual Funds: An International Perspective, Palgrave Macmillan, 2007, 63-84.
“On the Supposed Foreign Superiority: the Italian Tax Puzzle”, in eds. Greg N. Gregoriou, Diversification and Portfolio Management of Mutual Funds, Palgrave Macmillan, 2007, 312-333.
“Outsourcing strategies in asset management industry”, (with Basile, I.), in (eds.) De Laurentis, G., Performances measurements frontiers in financial services industry, Egea, Milan, 2004, 15-43.
Towards a Framework for a New Research Ecosystem (with Alberini, C.M., Alessi, L., Baussano, I., Dellaportas, P., Guerra, R., Khozin, S., Modena, A., Pecorelli, S., Rasi, G., Siviero, P.D. and Stein, R.), European Commission, JRC Working Papers in Economics and Finance 2024/2.
Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data (with Lucia alessi and Pierluigi Balduzzi), European Commission, JRC Working Papers in Economics and Finance 2019/3.
Risk Dynamics in the Eurozone: A New Factor Model for Sovereign CDS and Equity Returns (with Petros Dellaportas, Loukia Meligkotsidoub, and Ioannis D. Vrontos), SYRTO Working Paper n. 23/2015, 1-38.
Credit Expected Shortfall with Time Varying Recovery Risk (with Mattia Raudaschl), 2015, 1-28.
Oil Price Shocks, Financial Frictions and TFP Dynamics (with Marcella Lucchetta and Antonio Paradiso), SYRTO Working Paper n. 19/2015, 1-22.
“Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk” (with G. Amisano), European Central Bank, Working Paper No. 881, March 2008, 1-53. Also in CAREFIN – Università Bocconi, Working Paper no 2/2008.
"Dissimilarities between domestic and foreign money management at home: evidence from Italy", Newfin Working Paper n. 4/04, 2004, 1-44.
"Management Styles of Italian Equity Mutual Funds" (with Basile, I., Doninelli, N.), Dipartimento di Economia Aziendale - Università degli Studi di Brescia, Working Paper no 14, 2001.
“The Forecasting side of Sovereign Risk: a Generalized Cross Entropy Approach” (with Enrico Ciavolino), in CLADAG 2013 9th scientific meeting of the Classification and Data Analysis Group of the Italian Statistical Society - Book of Abstract, CLEUP - CLADAG 2013, pp. 105-108, 2013.
“Assessing Model Accuracy Using a Two-Dimensional Loss Function” (with M. Vezzoli), in Book of Abstract GfKI - CLADAG 2010, pp. 267-268, Joint meeting of German Classification Society (GfKl) and Classification and Data Analysis Group (CLADAG), Università di Firenze, Polo delle Scienze Sociali, 8-10 Settembre 2010.
“Taming Financial Inaccessibility with Bayesian State Space Models” (with G. Amisano), in Book of Short Papers CLADAG 2009, CLEUP, pp. 405-408. Seventh scientific meeting of the Classification and Data Analysis Group (CLADAG) of the Italian Statistical Society, Università degli Studi di Catania 09-11 Settembre 2009.
"L’evoluzione dei business model in contesti senza precedenti: le banche italiane nel periodo 2014-2022", Bancaria, 2024, n. 9, 18-49.
“La misurazione e la valutazione della performance degli hedge fund”, in (eds.) Ignazio Basile, Maria Debora Braga, Pierpaolo Ferrari, Asset Management e Investitori Istituzionali, Pearson Italia, 2019, 317-332.
“Le politiche di gestione delle diverse categorie di investitori istituzionali” (con Ignazio Basile e Pierpaolo Ferrari), in (eds.) Ignazio Basile, Maria Debora Braga, and Pierpaolo Ferrari, Asset Management e Investitori Istituzionali, Pearson Italia, 2019, 415-464.
“La valutazione della performance degli hedge fund”, in (eds.) Basile I. and P. Ferrari, Asset Management e Investitori Istituzionali, Pearson Italia, 2013, 285-300.
“Le politiche di gestione delle diverse categorie di investitori istituzionali” (with Basile I., and P. Ferrari), in (eds.) Basile I. and P. Ferrari, Asset Management e Investitori Istituzionali, Pearson, 2013, 379-427.
“Strategie, rischio e rendimento degli hedge fund” (with I. Basile), Bancaria, 9, 2007, 85-89.
“Gli hedge fund e le strategie di gestione di portafoglio” (with I. Basile), Bancaria, 11, 2007, 68-72.
“Fusioni e acquisizioni bancarie in Italia, 1989-1997: analisi empirica sulla reattività dei prezzi azionari”, Bancaria, 1, 2002, 31-52.
“Le strategie competitive delle banche italiane di dimensioni medio/piccole nell’attività di asset management” (with Basile, I.), Banche e Banchieri, 1, 2002, 43-57. Also in Risparmio, 1, 2002, 179-209.
“Un’analisi dell’efficienza dei benchmark del mercato azionario italiano”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 41-70.
“L’impiego dei benchmark nella gestione e nella valutazione dei portafogli azionari”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 71-115.
“I benchmark obbligazionari: caratteristiche fondamentali e profili di efficienza”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 139-162.
“L’utilizzo dei benchmark nella gestione dei portafogli obbligazionari”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 163-189.
“I volatility swap”, in NEWFIN, Nuove frontiere dei mercati finanziari e delle securities industry - Osservatorio sull’innovazione finanziaria 2001, Bancaria Editrice, Roma, 2001, 239-254.
“Portafogli di strumenti derivati e gestione del rischio di interesse: gli interest rate swap”, Apb news, 3, 2000, 33-48.
Gli investimenti alternativi: asset allocation, strategie di gestione, valutazione delle performance (with Basile, I.), Newfin Ricerche n° 94, Università Bocconi, Milano, 2005, 3-198.
Efficienza dei benchmark obbligazionari e politiche di gestione e misurazione delle performance degli investitori istituzionali, Newfin Ricerche n° 80, Università Bocconi, Milano, 2001, 27-86.
Efficienza dei benchmark azionari e politiche di gestione e misurazione delle performance degli investitori istituzionali (with Doninelli, N.), Newfin Ricerche n° 73, Università Bocconi, Milano, 2000, 3-76.
“Prevenzione, gestione e risoluzione delle crisi sistemiche”, Brescia & Futuro, 2, 2015, 55-58.
“Struttura finanziaria, innovazione finanziaria e merito creditizio”, Brescia & Futuro, 1, 2006, 63-69.
"Il benchmarking nelle politiche di gestione di portafoglio", PhD Dissertation, Università degli Studi di Udine, 2001.