9
H index
9
i10 index
363
Citations
Università degli Studi di Milano | 9 H index 9 i10 index 363 Citations RESEARCH PRODUCTION: 29 Articles 1 Papers EDITOR: Series edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Giovanni Puccetti. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Dependence Modeling | 10 |
Insurance: Mathematics and Economics | 4 |
Journal of Multivariate Analysis | 4 |
Journal of Banking & Finance | 2 |
Statistics & Probability Letters | 2 |
Year | Title of citing document |
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2021 | Scenario-based Risk Evaluation. (2018). Ziegel, Johanna F ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1808.07339. Full description at Econpapers || Download paper |
2021 | Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268. Full description at Econpapers || Download paper |
2021 | Detection of arbitrage opportunities in multi-asset derivatives markets. (2020). Sarmiento, Paulo Yanez ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2002.06227. Full description at Econpapers || Download paper |
2022 | Model-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. Full description at Econpapers || Download paper |
2021 | Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320. Full description at Econpapers || Download paper |
2021 | Ordering and Inequalities for Mixtures on Risk Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2007.12338. Full description at Econpapers || Download paper |
2021 | Vector copulas and vector Sklar theorem. (2020). Henry, Marc ; Fan, Yanqin. In: Papers. RePEc:arx:papers:2009.06558. Full description at Econpapers || Download paper |
2022 | Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889. Full description at Econpapers || Download paper |
2021 | Generating unfavourable VaR scenarios with patchwork copulas. (2020). Ragulina, Olena ; Pfeifer, Dietmar. In: Papers. RePEc:arx:papers:2011.06281. Full description at Econpapers || Download paper |
2022 | Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2012.05219. Full description at Econpapers || Download paper |
2021 | Ordered Risk Aggregation under Dependence Uncertainty. (2021). Chen, Yuyu ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2104.07718. Full description at Econpapers || Download paper |
2021 | ESG, Risk, and (tail) dependence. (2021). Bax, Karoline ; Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2105.07248. Full description at Econpapers || Download paper |
2021 | Distributionally 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. Full description at Econpapers || Download paper |
2021 | A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792. Full description at Econpapers || Download paper |
2022 | Simultaneous Optimal Transport. (2022). Zhang, Zhenyuan ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2201.03483. Full description at Econpapers || Download paper |
2022 | A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599. Full description at Econpapers || Download paper |
2022 | Lorenz 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. Full description at Econpapers || Download paper |
2022 | Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882. Full description at Econpapers || Download paper |
2021 | Model 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. Full description at Econpapers || Download paper |
2021 | Intra?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. Full description at Econpapers || Download paper |
2022 | Ordering 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. Full description at Econpapers || Download paper |
2021 | On 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. Full description at Econpapers || Download paper |
2021 | Dissimilarity 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Simulation 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. Full description at Econpapers || Download paper |
2022 | Systemic 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. Full description at Econpapers || Download paper |
2022 | Risk 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. Full description at Econpapers || Download paper |
2020 | Range 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. Full description at Econpapers || Download paper |
2021 | Economic 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Semi-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. Full description at Econpapers || Download paper |
2021 | New 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. Full description at Econpapers || Download paper |
2021 | Worst-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. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Elicitability 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. Full description at Econpapers || Download paper |
2021 | Scenario-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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | Competitive 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. Full description at Econpapers || Download paper |
2021 | Risk Quantization by Magnitude and Propensity. (2021). Pages, Gilles ; Faugeras, Olivier . In: TSE Working Papers. RePEc:tse:wpaper:125748. Full description at Econpapers || Download paper |
2021 | Generating 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. Full description at Econpapers || Download paper |
2021 | Detection 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. Full description at Econpapers || Download paper |
2022 | Vines 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. Full description at Econpapers || Download paper |
Journal | |
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Dependence Modeling |
Year | Title | Type | Cited |
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2012 | Bounds for joint portfolios of dependent risks In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 6 |
2022 | Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
2005 | Worst VaR scenarios In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 23 |
2013 | Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
2015 | Reducing model risk via positive and negative dependence assumptions In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
2018 | Conditional expectiles, time consistency and mixture convexity properties In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2013 | Model uncertainty and VaR aggregation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 91 |
2018 | A clustering approach and a rule of thumb for risk aggregation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
2010 | Bounds for the sum of dependent risks having overlapping marginals In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 5 |
2010 | Multivariate comonotonicity In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 32 |
2010 | Multivariate comonotonicity.(2010) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2020 | On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
2006 | Bounds for functions of multivariate risks In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 51 |
2015 | Studying mixability with supermodular aggregating functions In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
2013 | Sharp bounds on the expected shortfall for a sum of dependent random variables In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 7 |
2014 | An Academic Response to Basel 3.5 In: Risks. [Full Text][Citation analysis] | article | 64 |
2006 | Aggregating risk capital, with an application to operational risk In: The Geneva Papers on Risk and Insurance Theory. [Full Text][Citation analysis] | article | 3 |
2006 | Aggregating 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 | |
2006 | Bounds for Functions of Dependent Risks In: Finance and Stochastics. [Full Text][Citation analysis] | article | 35 |
2019 | Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2015 | Building bridges between Mathematics, Insurance and Finance In: Dependence Modeling. [Full Text][Citation analysis] | article | 3 |
2015 | A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2016 | Stat Trek In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2016 | Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
2016 | VaR bounds for joint portfolios with dependence constraints In: Dependence Modeling. [Full Text][Citation analysis] | article | 12 |
2017 | The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2017 | My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2018 | Copulas, credit portfolios, and the broken heart syndrome In: Dependence Modeling. [Full Text][Citation analysis] | article | 5 |
2018 | A Journey Beyond The Gaussian World: An interview with Harry Joe In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2021 | Special Issue on copulas in memory of Abe Sklar (1925-2020) In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
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