Marco Bardoscia

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Top 37,280

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1

CROSSREF CITATIONS

14

Scholarly Papers (4)

1.

Network Valuation in Financial Systems

Number of pages: 26 Posted: 16 Jun 2016 Last Revised: 29 Jul 2016
University of Zurich - Department of Banking and Finance, Bank of England, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Zurich, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and IMT Alti Studi Lucca
Downloads 470 (60,382)
Citation 19

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Interbank Claim Valuation; Network Valuation; Financial Network; Systemic Risk; Credit Risk; Default; Contagion

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 University of Bari - Department of Physics
Downloads 286 (107,054)

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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: 08 Feb 2012
Marco Bardoscia and Roberto Bellotti
Bank of England and University of Bari - Department of Physics
Downloads 111 (248,600)
Citation 1

Abstract:

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

4.

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, University of Bari - Department of Physics, Italian 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