Details about Annalisa Di Clemente

Access statistics for papers by Annalisa Di Clemente.

Last updated 2022-06-13. Update your information in the RePEc Author Service.

Short-id: pdi508

Journal Articles

2020

1. Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio
   JRFM, 2020, 13, (6), 1-24

2019

2. Comparing Different Systemic Risk Measures for European Banking System
   International Business Research, 2019, 12, (1), 35-53

2018

3. Estimating the Marginal Contribution to Systemic Risk by A CoVaR†model Based on Copula Functions and Extreme Value Theory
   Economic Notes, 2018, 47, (1), 69-112 View citations (6)

2015

4. Hedge Accounting and Risk Management: An Advanced Prospective Model for Testing Hedge Effectiveness
   Economic Notes, 2015, 44, (1), 29-55

2014

5. Improving Loan Portfolio Optimization by Importance Sampling Techniques: Evidence on Italian Banking Books
   Economic Notes, 2014, 43, (2), 167-191

2013

6. Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk: an experimental analysis
   STUDI ECONOMICI, 2013, 2013/109, (109), 5-24

2011

7. The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing
   STUDI ECONOMICI, 2011, LXVI, (104), 5-28

2010

8. Advanced approaches for measuring total banking capital
   BANCARIA, 2010, 02, 68-75

2009

9. La misurazione integrata dei rischi bancari: uno studio simulativo
   STUDI ECONOMICI, 2009, LXIV, (99), 75-103

2005

10. Measuring Portfolio value-at-risk by a copula-evt based approach
    STUDI ECONOMICI, 2005, 2005/85, (85) View citations (4)