Sara Cecchetti

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

640

SSRN CITATIONS
Rank 7,061

SSRN RANKINGS

Top 7,061

in Total Papers Citations

60

CROSSREF CITATIONS

129

Scholarly Papers (7)

1.

Forward-Looking Robust Portfolio Selection

Bank of Italy Temi di Discussione (Working Paper) No. 913
Number of pages: 36 Posted: 21 Jun 2013
Sara Cecchetti and Laura Sigalotti
Bank of Italy and Bank of Italy
Downloads 200 (190,700)
Citation 23

Abstract:

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portfolio allocation, robust optimization, implied correlation, stock options

2.

A Quantitative Analysis of Risk Premia in the Corporate Bond Market

Bank of Italy Temi di Discussione (Working Paper) No. 1141
Number of pages: 55 Posted: 09 Nov 2017
Sara Cecchetti
Bank of Italy
Downloads 129 (274,832)
Citation 15

Abstract:

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Bond Excess Return, Credit Default Swap, Distress Risk Premium, Expected Default Frequency, Jump-At-Default Risk Premium

3.

Assessing the Risks of Asset Overvaluation: Models and Challenges

Bank of Italy Temi di Discussione (Working Paper) No. 1114
Number of pages: 40 Posted: 08 May 2017
Sara Cecchetti and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 86 (361,455)
Citation 20

Abstract:

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stock risk premium, bond risk premium, fundamental value, under-/over-valuation

4.

Contagion and Fire Sales in Banking Networks

Bank of Italy Temi di Discussione (Working Paper) No. 1050
Number of pages: 72 Posted: 02 Apr 2016
Sara Cecchetti, Marco Rocco and Laura Sigalotti
Bank of Italy, European Central Bank (ECB) and Bank of Italy
Downloads 71 (403,768)
Citation 26

Abstract:

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financial networks, contagion, liquidity, fire sales, systemic risk

5.

Economic Governance in the Euro Area: Balancing Risk Reduction and Risk Sharing

Bank of Italy Occasional Paper No. 344
Number of pages: 36 Posted: 03 Nov 2016
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 65 (423,136)
Citation 2

Abstract:

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economic and monetary union, banking union, fiscal union, sovereign risk, prudential regulation, sovereigns-banks nexus

6.

Tail Comovement in Option-Implied Inflation Expectations as an Indicator of Anchoring

Bank of Italy Temi di Discussione (Working Paper) No. 1025
Number of pages: 51 Posted: 26 Jan 2016
Sara Cecchetti, Filippo Natoli and Laura Sigalotti
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 49 (482,574)
Citation 84

Abstract:

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disanchoring, inflation swaps, inflation options, option-implied density, tail comovement

7.

A Dynamic Default Dependence Model

Bank of Italy Temi di Discussione (Working Paper) No. 892
Number of pages: 77 Posted: 29 Jan 2013
Sara Cecchetti and Giovanna Nappo
Bank of Italy and Sapienza, University of Rome
Downloads 40 (522,801)
Citation 23

Abstract:

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Lévy subordinators, joint default probability, copula