Dario Brandolini

University of Turin

Professor

Via Po 53

Torino, Turin - Piedmont 10100

Italy

  • University of Turin

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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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
University of Rome III - Department of Business Studies and University of Turin
Downloads 2,603 (10,434)
Citation 1

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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
University of Rome III - Department of Business Studies and University of Turin
Downloads 1,062 (40,865)
Citation 2

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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
University of Rome III - Department of Business Studies and University of Turin
Downloads 187 (308,231)
Citation 1

Abstract:

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