Marco Rocco

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

3

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CROSSREF CITATIONS

27

Scholarly Papers (3)

1.

Extreme Value Theory for Finance: A Survey

Bank of Italy Occasional Paper No. 99
Number of pages: 74 Posted: 05 Feb 2012
Marco Rocco
Bank of Italy
Downloads 782 (31,229)
Citation 4

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extreme value theory, risk management, fat-tailed distributions, Value-at-Risk, systemic risk, asset allocation

2.

A Spatial Competitive Analysis: The Carbon Leakage Effect on the Cement Industry Under the European Emissions Trading Scheme

Bank of Italy Temi di Discussione (Working Paper) No. 899
Number of pages: 47 Posted: 21 Feb 2013
University of Brescia, University of Brescia, University of Brescia and Bank of Italy
Downloads 82 (305,564)
Citation 28

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carbon leakage, cement sector, ETS, generalized Nash game

3.

Extreme Value Theory in Finance: A Survey

Journal of Economic Surveys, Vol. 28, Issue 1, pp. 82-108, 2014
Number of pages: 27 Posted: 10 Dec 2013
Marco Rocco
Bank of Italy
Downloads 0 (678,118)
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Extreme value theory, Risk management, Fat‐tailed distributions, Value‐at‐risk, Systemic risk, Asset allocation