G
Giovanni Puccetti
Researcher at University of Milan
Publications - 65
Citations - 2701
Giovanni Puccetti is an academic researcher from University of Milan. The author has contributed to research in topics: Marginal distribution & Random variable. The author has an hindex of 25, co-authored 65 publications receiving 2476 citations. Previous affiliations of Giovanni Puccetti include University of Florence.
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An Academic Response to Basel 3.5
TL;DR: In this paper, the authors highlight some of the underlying issues in the modeling of risk-weighted assets (RWAs), and frame this discussion in the context of two recent regulatory documents referred to as Basel 3.5.
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Model uncertainty and VaR aggregation
TL;DR: In this paper, the numerical estimation of the value-at-risk (VaR) for a portfolio position as a function of different dependence scenarios on the factors of the portfolio is discussed.
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Model Uncertainty and VaR Aggregation
TL;DR: This paper introduces a numerical algorithm which allows for the computation of reliable (sharp) bounds for the VaR of high-dimensional portfolios with dimensions d possibly in the several hundreds, and summarizes the most relevant analytical bounds.
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Computation of sharp bounds on the distribution of a function of dependent risks
TL;DR: A new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of d dependent random variables having fixed marginal distributions that are widely applicable, more accurate and more easily obtained.
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Bounds for Functions of Dependent Risks
TL;DR: The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n=2 and a lower Bound on the copula of the portfolio is provided.