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

10

DOWNLOADS
Rank 8,613

SSRN RANKINGS

Top 8,613

in Total Papers Downloads

5,404

SSRN CITATIONS
Rank 45,726

SSRN RANKINGS

Top 45,726

in Total Papers Citations

4

CROSSREF CITATIONS

7

Scholarly Papers (10)

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 2,163 (6,505)
Citation 1

Abstract:

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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 847 (28,164)
Citation 1

Abstract:

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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 648 (40,617)
Citation 3

Abstract:

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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 548 (50,523)

Abstract:

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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
Rome Tre University - Department of Business Studies and Symphonia Sgr
Downloads 457 (63,523)
Citation 3

Abstract:

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

6.

A Quick Tool to Forecast VaR Using Implied and Realized Volatilities

Number of pages: 26 Posted: 14 Jan 2016
Francesco Cesarone and Stefano Colucci
Rome Tre University - Department of Business Studies and Symphonia Sgr
Downloads 279 (111,614)

Abstract:

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

7.

On Estimating Bitcoin Value at Risk: A Comparative Analysis

Number of pages: 24 Posted: 31 Aug 2018
Stefano Colucci
Symphonia Sgr
Downloads 156 (193,491)
Citation 1

Abstract:

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Value-at-Risk Forecast, Backtest, GARCH, EVT, Empirical Finance, Market Risk, UCITS

8.

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 148 (202,146)
Citation 1

Abstract:

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

9.

An Heuristic Improvement of a Filtered Bootstrap Approach

Number of pages: 18 Posted: 21 Sep 2013
Stefano Colucci
Symphonia Sgr
Downloads 80 (311,994)
Citation 1

Abstract:

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

10.

Shrunk Volatility VaR: An Application on US Balanced Portfolios

Number of pages: 42 Posted: 12 Jan 2017
Stefano Colucci
Symphonia Sgr
Downloads 78 (316,695)
Citation 1

Abstract:

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