Marco Bardoscia

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

5

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981

SSRN CITATIONS
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Top 29,630

in Total Papers Citations

13

CROSSREF CITATIONS

17

Scholarly Papers (5)

1.

Network Valuation in Financial Systems

Mathematical Finance, https://doi.org/10.1111/mafi.12272, 2020
Number of pages: 23 Posted: 16 Jun 2016 Last Revised: 02 Jun 2020
University of Zurich - Department of Banking and Finance, Bank of England, University College London, University of Zurich, University of Zurich - Institute of Mathematics, IMT Alti Studi Lucca and University of Zurich - Department of Banking and Finance
Downloads 579 (58,749)
Citation 38

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Financial networks, Contagion, Systemic risk, Credit risk, Mark-to-market losses

2.

A Dynamical Approach to Operational Risk Measurement

The Journal of Operational Risk, Vol. 6, No. 1, pp. 3-19, 2011
Number of pages: 19 Posted: 31 Aug 2010 Last Revised: 02 Mar 2011
Marco Bardoscia and Roberto Bellotti
Bank of England and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Physics
Downloads 288 (132,326)

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Operational Risk, Risk Management, Dynamical Models

3.

A Dynamical Model for Forecasting Operational Losses

Physica A, Vol. 391, No. 8, pp. 2641-2655, 2012
Number of pages: 30 Posted: 23 Jan 2011 Last Revised: 02 Jun 2020
Marco Bardoscia and Roberto Bellotti
Bank of England and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Physics
Downloads 114 (297,920)
Citation 1

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Operational Risk, Dynamical Systems, Value at Risk, Capital Allocation

4.

Network Valuation in Financial Systems

Mathematical Finance, Vol. 30, Issue 4, pp. 1181-1204, 2020
Number of pages: 24 Posted: 07 Oct 2020
University College London, Bank of England, University College London, European Central Bank (ECB), University of Zurich - Institute of Mathematics, University of Zurich - Department of Banking and Finance and IMT Alti Studi Lucca
Downloads 0 (803,887)
Citation 4
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contagion, credit risk, financial networks, mark‐to‐market losses, systemic risk

5.

A Bayesian Networks Approach to Operational Risk

Physica A, Vol. 389, No. 8, pp. 1721-1728, 2010
Posted: 10 Sep 2010 Last Revised: 08 Feb 2012
affiliation not provided to SSRN, Bank of England, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Physics, National Research Council (CNR) - Institute for Biomedical Technologies (ITB), affiliation not provided to SSRN and LUMSA University

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Operational Risk, Bayesian Networks, Time Series, Value at Risk, Different-Times Correlations