Giacomo Scandolo : Citation Profile


Are you Giacomo Scandolo?

Università degli Studi di Firenze

5

H index

5

i10 index

392

Citations

RESEARCH PRODUCTION:

5

Articles

1

Papers

RESEARCH ACTIVITY:

   10 years (2005 - 2015). See details.
   Cites by year: 39
   Journals where Giacomo Scandolo has often published
   Relations with other researchers
   Recent citing documents: 79.    Total self citations: 1 (0.25 %)

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   Permalink: http://citec.repec.org/psc515
   Updated: 2021-11-28    RAS profile: 2015-08-05    
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Relations with other researchers


Works with:

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

Is cited by:

Csóka, Péter (14)

Schumacher, Johannes (8)

Ruszczynski, Andrzej (5)

Riedel, Frank (5)

Hellmann, Tobias (4)

Herings, P. Jean-Jacques (4)

Castaneda, Pablo (4)

Puccetti, Giovanni (3)

Anthropelos, Michail (3)

Pintér, Miklós (3)

Havran, Dániel (3)

Cites to:

gourieroux, christian (5)

Scaillet, Olivier (5)

Karolyi, G. (2)

Acerbi, Carlo (2)

Artzner, Philippe (1)

Riedel, Frank (1)

Jarrow, Robert (1)

Main data


Where Giacomo Scandolo has published?


Journals with more than one article published# docs
Quantitative Finance2

Recent works citing Giacomo Scandolo (2021 and 2020)


YearTitle of citing document
2020A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation. (2019). Yao, Jianing ; Ruszczynski, Andrzej . In: Papers. RePEc:arx:papers:1701.06234.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2020Time consistency of the mean-risk problem. (2018). Rudloff, Birgit ; Kovacova, Gabriela. In: Papers. RePEc:arx:papers:1806.10981.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2020Statistical estimation of superhedging prices. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1807.04211.

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2021Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2021Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821.

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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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2021Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2020Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1902.04489.

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2020Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2020Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:1904.13257.

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2021Gittins theorem under uncertainty. (2019). Treetanthiploet, Tanut ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:1907.05689.

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2020Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations. (2019). Feinstein, Zachary ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1912.06916.

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2020On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization. (2020). Zhang, Fangyuan ; Stadje, Mitja ; Chen, AN. In: Papers. RePEc:arx:papers:2002.02229.

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2021Inf-convolution and optimal risk sharing with arbitrary sets of risk measures. (2020). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2003.05797.

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2020Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479.

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2020Range Value-at-Risk: Multivariate and Extreme Values. (2020). Mailhot, Melina ; Cao, LU ; Bairakdar, Roba. In: Papers. RePEc:arx:papers:2005.12473.

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2021Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2005.12572.

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2020Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty. (2020). Ganesh, Sumitra ; Vadori, Nelson ; Veloso, Manuela ; Reddy, Prashant. In: Papers. RePEc:arx:papers:2006.12686.

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2020Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures. (2020). Xu, Huifu ; Wang, Wei ; Ma, Tiejun. In: Papers. RePEc:arx:papers:2006.15491.

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2021Minkowski gauges and deviation measures. (2020). Righi, Marcelo ; Moresco, Marlon ; Horta, Eduardo. In: Papers. RePEc:arx:papers:2007.01414.

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2021Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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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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2020Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151.

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2020Markov Decision Processes with Recursive Risk Measures. (2020). Glauner, Alexander ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2010.07220.

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2021Conditional Systemic Risk Measures. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2010.11515.

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2021Parametric 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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2021Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351.

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2021Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947.

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2021Set-Valued Dynamic Risk Measures for Processes and Vectors. (2021). Feinstein, Zachary ; Chen, Yanhong. In: Papers. RePEc:arx:papers:2103.00905.

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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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2021Distributionally robust portfolio maximisation and marginal utility pricing in discrete time. (2021). Obloj, Jan ; Wiesel, Johannes. In: Papers. RePEc:arx:papers:2105.00935.

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2021Reverse Sensitivity Analysis for Risk Modelling. (2021). Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2107.01065.

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2021Computing near-optimal Value-at-Risk portfolios using Integer Programming techniques. (2021). Zuluaga, Luis F ; Vera, Juan C ; Babat, Onur. In: Papers. RePEc:arx:papers:2107.07339.

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2021Risk sharing under heterogeneous beliefs without convexity. (2021). Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2108.05791.

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2021Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306.

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2021Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2110.08630.

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2020Risk Measures Based on Benchmark Loss Distributions. (2020). Munari, Cosimo ; Burzoni, Matteo ; Bignozzi, Valeria. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:437-475.

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2020Risk functionals with convex level sets. (2020). Wei, Yunran ; Wang, Ruodu. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1337-1367.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2020Optimal procurement of flexibility services within electricity distribution networks. (2020). Nieto-Martin, Jesus ; Laur, Arnaud ; Vicente-Pastor, Alejandro ; Bunn, Derek W. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:34-47.

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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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2021Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures. (2021). Laeven, Roger ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:438-446.

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2021A one-sided Vysochanskii-Petunin inequality with financial applications. (2021). Strobel, Frank ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:374-377.

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2021Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (2021). Feinstein, Zachary ; Banerjee, Tathagata. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1147-1160.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801.

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2020Is the inf-convolution of law-invariant preferences law-invariant?. (2020). Wang, Ruodu ; Liu, Peng ; Wei, Linxiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:144-154.

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2020Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

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2020Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261.

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2020Characterizing optimal allocations in quantile-based risk sharing. (2020). Wei, Yunran ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:288-300.

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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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2021Pareto-optimal reinsurance policies with maximal synergy. (2021). Ren, Jiandong ; Hong, Hanping ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:185-198.

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2021Forecast encompassing tests for the expected shortfall. (2021). Schnaitmann, Julie ; Dimitriadis, Timo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:604-621.

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2020Behavioral data-driven analysis with Bayesian method for risk management of financial services. (2020). Yu, Min-Teh ; Sun, Edward W. In: International Journal of Production Economics. RePEc:eee:proeco:v:228:y:2020:i:c:s0925527320301250.

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2021Robust covariance matrix estimation and identification of unusual data points: New tools. (2021). Verbrugge, Randal ; Garciga, Christian. In: Research in Economics. RePEc:eee:reecon:v:75:y:2021:i:2:p:176-202.

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2021Generalized entropic risk measures and related BSDEs. (2021). Tian, Dejian ; Ma, Hanmin. In: Statistics & Probability Letters. RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000729.

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2021A Finite Mixture Modelling Perspective for Combining Experts’ Opinions with an Application to Quantile-Based Risk Measures. (2021). Tzougas, George ; Barrieu, Pauline ; Makariou, Despoina. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:115-:d:572157.

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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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2020Characterization, Robustness, and Aggregation of Signed Choquet Integrals. (2020). Willmot, Gordon E ; Wei, Yunran ; Wang, Ruodu. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:993-1015.

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2020Time consistent pricing of options with embedded decisions. (2020). Gerer, J ; Dorfleitner, G. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09158-9.

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2020A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben. (2020). Hever, Judit. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1915.

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2020An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George . In: Annals of Operations Research. RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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2020Equivalence between time consistency and nested formula. (2020). Gerard, Henri ; Chancelier, Jean-Philippe ; Lara, Michel. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-019-03276-1.

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2020Spectral risk measure of holding stocks in the long run. (2020). Szabó, Dávid ; Csóka, Péter ; Szabo, David Zoltan ; Bihary, Zsolt. In: Annals of Operations Research. RePEc:spr:annopr:v:295:y:2020:i:1:d:10.1007_s10479-020-03678-6.

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2020The value of a liability cash flow in discrete time subject to capital requirements. (2020). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00408-0.

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2020On fairness of systemic risk measures. (2020). Biagini, Francesca ; Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00417-4.

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2021Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2021). Munari, Cosimo. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00440-5.

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2021Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0.

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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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2020Parameter-Dependent Stochastic Optimal Control in Finite Discrete Time. (2020). Jamneshan, Asgar ; Zapata-Garcia, Jose Miguel ; Kupper, Michael. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01711-z.

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2020Qualitative robustness of set-valued value-at-risk. (2020). Mastrogiacomo, Elisa ; Crespi, Giovanni Paolo. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:91:y:2020:i:1:d:10.1007_s00186-020-00707-9.

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2020On quantile based co-risk measures and their estimation. (2020). Wolfgang, Trutschnig ; Sebastian, Fuchs. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:396-416:n:19.

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2020On quantile based co-risk measures and their estimation. (2020). Wolfgang, Trutschnig ; Sebastian, Fuchs. In: Dependence Modeling. RePEc:vrs:demode:v:8:y:2020:i:1:p:396-416:n:21.

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2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4163-4189.

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2020MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120.

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Works by Giacomo Scandolo:


YearTitleTypeCited
2013Assessing Financial Model Risk In: Papers.
[Full Text][Citation analysis]
paper26
2015Assessing financial model risk.(2015) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
article
2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES In: Mathematical Finance.
[Full Text][Citation analysis]
article63
2005Conditional and dynamic convex risk measures In: Finance and Stochastics.
[Full Text][Citation analysis]
article138
2010Robustness and sensitivity analysis of risk measurement procedures In: Quantitative Finance.
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article123
2008Liquidity risk theory and coherent measures of risk In: Quantitative Finance.
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article42

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