Rosella Giacometti

According to our database, Rosella Giacometti authored at least 16 papers between 2000 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Penalized enhanced portfolio replication with asymmetric deviation measures.

Gabriele Torri, Rosella Giacometti, Sandra Paterlini

Ann. Oper. Res., January, 2024

2023

Financial contagion in banking networks with community structure.

Gabriele Torri, Rosella Giacometti

Commun. Nonlinear Sci. Numer. Simul., 2023

2020

Risk attribution and interconnectedness in the EU via CDS data.

Rosella Giacometti, Gabriele Torri, Giulia Farina, Maria Elena De Giuli

Comput. Manag. Sci., 2020

Joint tails impact in stochastic volatility portfolio selection models.

Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza

Ann. Oper. Res., 2020

2019

Systemic risk attribution in the EU.

Giulia Farina, Rosella Giacometti, Maria Elena De Giuli

J. Oper. Res. Soc., 2019

Sparse precision matrices for minimum variance portfolios.

Gabriele Torri, Rosella Giacometti, Sandra Paterlini

Comput. Manag. Sci., 2019

14th International Conference on Computational Management Science.

Rosella Giacometti, Berç Rustem

Comput. Manag. Sci., 2019

Market implied volatilities for defaultable bonds.

Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi

Ann. Oper. Res., 2019

2018

Robust and sparse banking network estimation.

Gabriele Torri, Rosella Giacometti, Sandra Paterlini

Eur. J. Oper. Res., 2018

2013

Structural Credit Risk Models with Subordinated Processes.

Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti

J. Appl. Math., 2013

2012

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.

Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca

Ann. Oper. Res., 2012

Credit default swaps: implied ratings versus official ones.

Rosella Castellano, Rosella Giacometti

4OR, 2012

2011

A Stochastic Model for Mortality Rate on Italian Data.

Rosella Giacometti, Sergio Ortobelli Lozza, Marida Bertocchi

J. Optim. Theory Appl., 2011

2005

On pricing of credit spread options.

Rosella Giacometti, Mariangela Teocchi

Eur. J. Oper. Res., 2005

Risk factor analysis and portfolio immunization in the corporate bond market.

Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios

Eur. J. Oper. Res., 2005

2000

Bond portfolio management with repo contracts: the Italian case.

Marida Bertocchi, Rosella Giacometti, Leon Slominski

Ann. Oper. Res., 2000