PUCCETTI, GIOVANNI
PUCCETTI, GIOVANNI
Scienze per l'Economia e l'Impresa
Advances in complete mixability
2012 G. Puccetti; B. Wang; R. Wang
Aggregating operational risk across matrix structured loss data
2008 P.EMBRECHTS; G. PUCCETTI
Aggregating risk capital, with an application to operational risk
2006 PAUL EMBRECHTS; G. PUCCETTI
An Academic Response to Basel 3.5
2014 Paul Embrechts; Giovanni Puccetti; Ludger Rüschendorf; Ruodu Wang; Antonela Beleraj
Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
2014 Giovanni Puccetti; Ludger Rüschendorf
Bounds for functions of dependent risks
2006 P. Embrechts; G. Puccetti
Bounds for Functions of Multivariate Risks
2006 PAUL EMBRECHTS; G. PUCCETTI
Bounds for joint portfolios of dependent risks
2012 G. Puccetti; L. Rüschendorf
Bounds for the sum of dependent risks having overlapping marginals
2010 G.Puccetti; P. Embrechts
Bounds on total economic capital: the DNB case study
2014 Kjersti Aas; Giovanni Puccetti
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
2013 Giovanni Puccetti; Bin Wang; Ruodu Wang
Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
2015 Giovanni Puccetti; Ludger Rüschendorf
Computations of sharp bounds on the distribution of a function of dependent risks
2012 G.Puccetti; L.Rüschendorf
Detecting complete and joint mixability
2015 Giovanni Puccetti; Ruodu Wang
Model uncertainty and VaR aggregation
2013 Paul Embrechts;Giovanni Puccetti;Ludger Rüschendorf
Multivariate comonotonicity
2010 G. Puccetti; M. Scarsini
Reducing model risk via positive and negative dependence assumptions
2015 Valeria Bignozzi; Giovanni Puccetti; Ludger Rüschendorf
Risk Aggregation
2010 P.Embrechts; G.Puccetti
Sharp bounds for sums of dependent risks
2013 Giovanni Puccetti; Ludger Rüschendorf
Sharp bounds on the expected shortfall for a sum of dependent random variables
2013 Giovanni Puccetti