Stefano Colucci

Symphonia Sgr

Risk Manager

via Gramsci 7

Torino, Torino 10144

Italy

University of Rome III - Department of Business Studies

PhD Candidate

Via Silvio D'Amico 77

Via Silvio D'Amico 77

Rome, RM 00145

Italy

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 7,947

SSRN RANKINGS

Top 7,947

in Total Papers Downloads

4,743

CITATIONS
Rank 33,217

SSRN RANKINGS

Top 33,217

in Total Papers Citations

6

Scholarly Papers (9)

1.

A Risk Based Approach to Tactical Asset Allocation

Number of pages: 27 Posted: 28 Nov 2011 Last Revised: 08 Dec 2011
Stefano Colucci and Dario Brandolini
Symphonia Sgr and University of Turin
Downloads 1,693 (5,781)
Citation 1

Abstract:

asset allocation, expected shortfall, filtered bootstrap, VaR, GDP

2.

Backtesting Value-at-Risk: A Comparison between Filtered Bootstrap and Historical Simulation

Number of pages: 36 Posted: 28 Nov 2011 Last Revised: 30 Jan 2014
Stefano Colucci and Dario Brandolini
Symphonia Sgr and University of Turin
Downloads 638 (25,913)
Citation 3

Abstract:

VaR, backtest, historical simulation, filtered bootstrap, unconditional coverage, independence

3.

How Expected Shortfall Can Simplify the Equally-Weighted Risk Contribution Portfolio

Number of pages: 26 Posted: 05 Dec 2011 Last Revised: 21 Dec 2011
Stefano Colucci
Symphonia Sgr
Downloads 512 (35,493)
Citation 1

Abstract:

Risk Parity, Expected Shortfall, Equally weighted Porfolio, Asset Allocation

4.

A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction

Number of pages: 43 Posted: 03 Sep 2012 Last Revised: 20 Feb 2013
Stefano Colucci
Symphonia Sgr
Downloads 472 (43,689)

Abstract:

equally risk contribution, risk parity, maximum diversification, asset allocation, mean variance, 1/N, VaR models, expected shortfall

5.

Minimum Risk vs. Capital and Risk Diversification Strategies for Portfolio Construction

Number of pages: 24 Posted: 21 Jan 2015 Last Revised: 12 Feb 2015
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and Symphonia Sgr
Downloads 233 (63,437)

Abstract:

Risk Parity, Diversification, Asset Allocation, Conditional Value-at-Risk, Portfolio Optimization, Smart Beta

6.

Sovereign Risk: How Filtered Bootstrap and Historical Simulation Catch Government Problems

Number of pages: 28 Posted: 06 Dec 2011 Last Revised: 08 Dec 2011
Stefano Colucci and Dario Brandolini
Symphonia Sgr and University of Turin
Downloads 131 (175,393)
Citation 1

Abstract:

VaR, Backtest, Filtered Bootstrap, Historical Simalation, Sovereign Risk

7.

An Heuristic Improvement of a Filtered Bootstrap Approach

Number of pages: 18 Posted: 21 Sep 2013
Stefano Colucci
Symphonia Sgr
Downloads 49 (286,793)

Abstract:

Filtered Bootstrap, Filtered Historical Simulation, VaR, Backtest, Bayes, ESMA, CERS

8.

Shrunk Volatility VaR: An Application on US Balanced Portfolios

Number of pages: 42 Posted: 12 Jan 2017
Stefano Colucci
Symphonia Sgr
Downloads 0 (311,323)

Abstract:

Value-at-Risk Forecast, Backtest, Shrinkage, Empirical Finance, Market Risk, UCITS

9.

A Quick Tool to Forecast VaR Using Implied and Realized Volatilities

Number of pages: 26 Posted: 14 Jan 2016
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and Symphonia Sgr
Downloads 0 (103,365)

Abstract:

Value-at-Risk Forecast, Backtest, Shrinkage, Empirical Finance, Market Risk, ESMA, UCITS