Dario Brandolini

University of Turin

Professor

Via Po 53

Torino, Turin - Piedmont 10100

Italy

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 13,554

SSRN RANKINGS

Top 13,554

in Total Papers Downloads

2,832

CITATIONS
Rank 36,241

SSRN RANKINGS

Top 36,241

in Total Papers Citations

5

Scholarly Papers (3)

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 (5,730)
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 (25,853)
Citation 3

Abstract:

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

3.

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 (171,966)
Citation 1

Abstract:

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