Fabio Caccioli

University College London - Financial Computing and Analytics Group, Department of Computer Science

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 27,006

in Total Papers Downloads

1,397

CITATIONS
Rank 45,357

SSRN RANKINGS

Top 45,357

in Total Papers Citations

3

Scholarly Papers (10)

1.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 239 (65,542)

Abstract:

financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

2.

Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Number of pages: 25 Posted: 16 Nov 2012
University College London - Financial Computing and Analytics Group, Department of Computer Science, Santa Fe Institute, Santa Fe Institute and Institute for New Economic Thinking
Downloads 108 (200,716)

Abstract:

network models, systemic risk

3.

Heterogeneity, Correlations and Financial Contagion

Number of pages: 15 Posted: 07 Sep 2011
Fabio Caccioli, Thomas A. Catanach and J. Doyne Farmer
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Notre Dame and Institute for New Economic Thinking
Downloads 80 (230,678)
Citation 3

Abstract:

Network Models, Systemic Risk

4.

Lp Regularized Portfolio Optimization

Number of pages: 27 Posted: 16 Apr 2014
University College London - Financial Computing and Analytics Group, Department of Computer Science, Parmenides Foundation, Abdus Salam International Centre for Theoretical Physics (ICTP) and University of Hawaii
Downloads 77 (179,584)

Abstract:

5.

Contour Map of Estimation Error for Expected Shortfall

Number of pages: 5 Posted: 23 Feb 2015
Imre Kondor, Fabio Caccioli, Gabor Papp and Matteo Marsili
Parmenides Foundation, University College London - Financial Computing and Analytics Group, Department of Computer Science, Eötvös Loránd University and Abdus Salam International Centre for Theoretical Physics (ICTP)
Downloads 42 (318,733)

Abstract:

Expected Shortfall, optimization, estimation error

6.

Taming the Basel Leverage Cycle

Number of pages: 40 Posted: 16 Jul 2015
London School of Economics & Political Science (LSE) - London School of Economics, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Oxford and University of Oxford
Downloads 40 (220,013)

Abstract:

7.

Reverse Stress Testing Interbank Networks

Number of pages: 19 Posted: 03 Mar 2017 Last Revised: 10 Mar 2017
Daniel Grigat and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 0 (247,562)

Abstract:

systemic risk, network models, contagion, network topology

8.

Analytic Solution to Variance Optimization with No Short-Selling

Number of pages: 27 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Imre Kondor, Gabor Papp and Fabio Caccioli
Parmenides Foundation, Eötvös Loránd University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 0 (375,401)

Abstract:

Portfolio Optimization, Variance, No Short Selling

9.

Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with ℓ2 Regularization

Number of pages: 16 Posted: 17 Jan 2017
Gabor Papp, Fabio Caccioli and Imre Kondor
Eötvös Loránd University, University College London - Financial Computing and Analytics Group, Department of Computer Science and Parmenides Foundation
Downloads 0 (310,659)

Abstract:

Portfolio Optimization, Bias-Variance Trade-Off, Expected Shortfall

10.

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, University of Zurich - Department of Banking and Finance, 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 0 (75,773)

Abstract:

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