Giovanni Puccetti : Citation Profile

Are you Giovanni Puccetti?

Università degli Studi di Milano

9

H index

9

i10 index

363

Citations

RESEARCH PRODUCTION:

29

Articles

1

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   16 years (2005 - 2021). See details.
   Cites by year: 22
   Journals where Giovanni Puccetti has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 12 (3.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppu141
   Updated: 2022-05-21    RAS profile: 2021-11-26    
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Relations with other researchers

Works with:

Durante, Fabrizio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Giovanni Puccetti.

Is cited by:

Vanduffel, Steven (24)

Galichon, Alfred (8)

Laeven, Roger (8)

Henry, Marc (7)

Durante, Fabrizio (7)

Rulliere, Didier (4)

luciano, elisa (4)

Chi, Yichun (3)

TANKOV, PETER (3)

Charpentier, Arthur (3)

Powell, Robert (3)

Cites to:

Dhaene, Jan (8)

Goovaerts, Marc (8)

Durante, Fabrizio (5)

Acerbi, Carlo (4)

Artzner, Philippe (3)

Tasche, Dirk (3)

Scandolo, Giacomo (3)

Remillard, Bruno (3)

Vanduffel, Steven (3)

Jouini, Elyès (3)

Müller, Alfred (3)

Main data

Where Giovanni Puccetti has published?

Journals with more than one article published# docs
Dependence Modeling10
Insurance: Mathematics and Economics4
Journal of Multivariate Analysis4
Journal of Banking & Finance2
Statistics & Probability Letters2

Recent works citing Giovanni Puccetti (2022 and 2021)

YearTitle of citing document
2021Scenario-based Risk Evaluation. (2018). Ziegel, Johanna F ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1808.07339.

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2021Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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2021Detection of arbitrage opportunities in multi-asset derivatives markets. (2020). Sarmiento, Paulo Yanez ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2002.06227.

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2022Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288.

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2021Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320.

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2021Ordering and Inequalities for Mixtures on Risk Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2007.12338.

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2021Vector copulas and vector Sklar theorem. (2020). Henry, Marc ; Fan, Yanqin. In: Papers. RePEc:arx:papers:2009.06558.

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2022Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889.

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2021Generating unfavourable VaR scenarios with patchwork copulas. (2020). Ragulina, Olena ; Pfeifer, Dietmar. In: Papers. RePEc:arx:papers:2011.06281.

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2022Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2012.05219.

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2021Ordered Risk Aggregation under Dependence Uncertainty. (2021). Chen, Yuyu ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2104.07718.

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2021ESG, Risk, and (tail) dependence. (2021). Bax, Karoline ; Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2105.07248.

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2021Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464.

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2021A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792.

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2022Simultaneous Optimal Transport. (2022). Zhang, Zhenyuan ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2201.03483.

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2022A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599.

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2022Lorenz map, inequality ordering and curves based on multidimensional rearrangements. (2022). Fan, Yanqin ; Rivero, Jorge A ; Pass, Brendan ; Henry, Marc. In: Papers. RePEc:arx:papers:2203.09000.

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2022Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882.

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2021Model risk in credit risk. (2021). luciano, elisa ; Semeraro, Patrizia ; Fontana, Roberto. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:176-202.

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2021Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2022Ordering and inequalities for mixtures on risk aggregation. (2022). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:421-451.

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2021On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3.

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2021Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (2021). Durante, Fabrizio ; Di Lascio, F. Marta L. ; Marta, F ; Fuchs, Sebastian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000359.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2022Simulation methods for robust risk assessment and the distorted mix approach. (2022). Weber, Stefan ; Kim, Sojung. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:380-398.

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2022Systemic risk: Conditional distortion risk measures. (2022). Laeven, Roger ; Zhang, Yiying ; Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:126-145.

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2022Risk aggregation under dependence uncertainty and an order constraint. (2022). Wang, Ruodu ; Lin, Liyuan ; Chen, Yuyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:169-187.

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2020Range Value-at-Risk bounds for unimodal distributions under partial information. (2020). Vanduffel, Steven ; Kazzi, Rodrigue ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24.

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2021Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297.

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2021The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542.

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2021Semi-parametric estimation of multivariate extreme expectiles. (2021). Mailhot, Melina ; di Bernardino, Elena ; Beck, Nicholas. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000361.

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2021New Ways of Modeling Loan-to-Income Distributions and their Evolution in Time - A Probability Copula Approach. (2021). Temnov, Grigory ; Gerth, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:217-236.

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2021Worst-Case Expected Shortfall with Univariate and Bivariate Marginals. (2021). Das, Bikramjit ; Dhara, Anulekha ; Natarajan, Karthik. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:33:y:2021:i:1:p:370-389.

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2021An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429.

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2021A model-free approach to multivariate option pricing. (2021). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2.

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2021Elicitability and identifiability of set-valued measures of systemic risk. (2021). Rudloff, Birgit ; Hlavinova, Jana ; Fissler, Tobias. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z.

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2021Scenario-based risk evaluation. (2021). Ziegel, Johanna F ; Wang, Ruodu. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00460-9.

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2021Optimal monotone signals in Bayesian persuasion mechanisms. (2021). Ivanov, Maxim. In: Economic Theory. RePEc:spr:joecth:v:72:y:2021:i:3:d:10.1007_s00199-020-01277-x.

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2021Competitive equilibria in a comonotone market. (2021). Boonen, Tim J ; Wang, Ruodu ; Liu, Fangda. In: Economic Theory. RePEc:spr:joecth:v:72:y:2021:i:4:d:10.1007_s00199-020-01319-4.

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2021Risk Quantization by Magnitude and Propensity. (2021). Pages, Gilles ; Faugeras, Olivier . In: TSE Working Papers. RePEc:tse:wpaper:125748.

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2021Generating unfavourable VaR scenarios under Solvency II with patchwork copulas. (2021). Olena, Ragulina ; Dietmar, Pfeifer. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:327-346:n:2.

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2021Detection of arbitrage opportunities in multi-asset derivatives markets. (2021). Yanez, Sarmiento Paulo ; Antonis, Papapantoleon. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:439-459:n:18.

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2022Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach. (2022). Wang, Shixuan ; Liu, Zhenya. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2438-2457.

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Giovanni Puccetti is editor of

Journal
Dependence Modeling

Works by Giovanni Puccetti:

YearTitleTypeCited
2012Bounds for joint portfolios of dependent risks In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article6
2022Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2005Worst VaR scenarios In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article23
2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2015Reducing model risk via positive and negative dependence assumptions In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2018Conditional expectiles, time consistency and mixture convexity properties In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2013Model uncertainty and VaR aggregation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article91
2018A clustering approach and a rule of thumb for risk aggregation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2010Bounds for the sum of dependent risks having overlapping marginals In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article5
2010Multivariate comonotonicity In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article32
2010Multivariate comonotonicity.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 32		paper
2020On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article0
2006Bounds for functions of multivariate risks In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article51
2015Studying mixability with supermodular aggregating functions In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2013Sharp bounds on the expected shortfall for a sum of dependent random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article7
2014An Academic Response to Basel 3.5 In: Risks.
[Full Text][Citation analysis]		article64
2006Aggregating risk capital, with an application to operational risk In: The Geneva Papers on Risk and Insurance Theory.
[Full Text][Citation analysis]		article3
2006Aggregating risk capital, with an application to operational risk.(2006) In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2006Bounds for Functions of Dependent Risks In: Finance and Stochastics.
[Full Text][Citation analysis]		article35
2019Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2015Building bridges between Mathematics, Insurance and Finance In: Dependence Modeling.
[Full Text][Citation analysis]		article3
2015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Stat Trek In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2016VaR bounds for joint portfolios with dependence constraints In: Dependence Modeling.
[Full Text][Citation analysis]		article12
2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2018Copulas, credit portfolios, and the broken heart syndrome In: Dependence Modeling.
[Full Text][Citation analysis]		article5
2018A Journey Beyond The Gaussian World: An interview with Harry Joe In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2021Special Issue on copulas in memory of Abe Sklar (1925-2020) In: Dependence Modeling.
[Full Text][Citation analysis]		article0

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