Luca Riccetti

Università degli Studi di Macerata

Researcher

via Crescimbeni

Macerata

Italy

http://docenti.unimc.it/luca.riccetti

SCHOLARLY PAPERS

16

DOWNLOADS

518

CITATIONS
Rank 38,045

SSRN RANKINGS

Top 38,045

in Total Papers Citations

13

Scholarly Papers (16)

1.

An Agent-Based Decentralized Matching Macroeconomic Model

Number of pages: 24 Posted: 20 Oct 2012
Luca Riccetti, Alberto Russo and Mauro Gallegati
Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Università Politecnica delle Marche - Faculty of Economics
Downloads 131 (216,848)
Citation 7

Abstract:

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agent-based macroeconomics, business cycle, crisis, unemployment, leverage

2.

Systemic Risk Measurement: Bucketing G-SIBs Between Literature and Supervisory View

Number of pages: 57 Posted: 13 Feb 2017 Last Revised: 15 Nov 2017
Marina Brogi, Valentina Lagasio and Luca Riccetti
University of Rome I - Dipartimento Banche Assicurazioni Mercati, Sapienza University and Università degli Studi di Macerata
Downloads 99 (265,338)
Citation 1

Abstract:

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Systemic risk, Systemically Important Financial Institution, Financial Crisis, Financial regulation, Capital requirements

3.

Asset Management with TEV and VAR Constraints: The Constrained Efficient Frontiers

Number of pages: 20 Posted: 09 Sep 2013
Giulio Palomba and Luca Riccetti
Università Politecnica delle Marche - Faculty of Economics and Università degli Studi di Macerata
Downloads 96 (270,654)
Citation 2

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Efficient Portfolio Frontiers, Risk Management, Tracking Error Volatility (TEV), Value-at-Risk (VaR)

4.

How Risk Managers Should Fix TEV and VaR Constraints in Asset Management

Number of pages: 21 Posted: 26 Dec 2014 Last Revised: 06 May 2018
Luca Riccetti
Università degli Studi di Macerata
Downloads 77 (310,293)

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Active Portfolio Management, Risk Management, Benchmarking, Tracking Error, Value-at-Risk, Mean-Variance Dominance.

5.

Increasing Inequality and Financial Fragility in an Agent Based Macroeconomic Model

Number of pages: 18 Posted: 19 Nov 2013
Alberto Russo, Luca Riccetti and Mauro Gallegati
Università Politecnica delle Marche, Ancona - Department of Management, Università degli Studi di Macerata and Università Politecnica delle Marche - Faculty of Economics
Downloads 49 (389,491)

Abstract:

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agent-based model, business cycle, inequality, crisis

6.

A General and Simple Theory to Establish the Imposed Punishment

Number of pages: 11 Posted: 27 Mar 2018
Università degli Studi di Macerata - Department of Economics and Law, Università degli Studi di Macerata and Università degli Studi di Macerata - Department of Economics and Law
Downloads 29 (469,590)

Abstract:

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expected punishment, illegal behavior, utility function

7.

Risk Aversion, Prudence and Temperance: It Is a Matter of Gap Between Moments

Number of pages: 59 Posted: 15 Apr 2019
Annarita Colasante and Luca Riccetti
Jaume I University and Università degli Studi di Macerata
Downloads 23 (501,538)

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behavioural finance, experiment, choice under uncertainty, moments of return distribution, utility function

8.

Systemic Risk Analysis and SIFIs Detection: A Proposal for a Complete Methodology

Number of pages: 53 Posted: 09 Jul 2019 Last Revised: 02 Aug 2019
Luca Riccetti
Università degli Studi di Macerata
Downloads 14 (554,193)

Abstract:

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financial systemic risk, Systemically Important Financial Institutions (SIFIs), multi-layered network, fire sales, simulations

9.

Determinants of European Large Bank Stock Market Volatility: Is There a Bail-In Effect?

Posted: 30 Nov 2017
Sapienza University of Rome, University of Rome I and Università degli Studi di Macerata

Abstract:

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BRRD, bail-in, stock market volatility

10.

How Risk Managers Should Fix Tracking Error Volatility and Value-at-Risk Constraints in Asset Management

Journal of Risk, Forthcoming
Number of pages: 24 Posted: 30 Nov 2016
Luca Riccetti
Università degli Studi di Macerata
Downloads 0 (666,371)
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risk management, active portfolio management, benchmarking, tracking error, value-at-risk (VaR), mean–variance dominance

11.

Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model

Posted: 06 Apr 2016
Università Politecnica delle Marche, Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Università Politecnica delle Marche - Faculty of Economics

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Monetary Policy, Large Crises, Agent Based Model, Financial Accelerator, Zero Lower Bound

12.

Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model

Posted: 10 Jan 2016 Last Revised: 20 May 2019
University of Florence - Department of Economics and Management, Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Università Politecnica delle Marche - Faculty of Economics

Abstract:

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agent based models, credit networks, financial fragility, metamodel, calibration

13.

Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy

Posted: 06 Apr 2015
Luca Riccetti, Alberto Russo and Mauro Gallegati
Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Università Politecnica delle Marche - Faculty of Economics

Abstract:

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Agent-based modeling, stock market, leverage, network, volatility, financial accelerator, monetary policy

14.

Financialisation and Crisis in an Agent Based Macroeconomomic Model

Posted: 31 Oct 2013
Luca Riccetti, Alberto Russo and Mauro Gallegati
Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Università Politecnica delle Marche - Faculty of Economics

Abstract:

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agent-based macroeconomics, business cycle, leverage, payout policy, financialisation, crisis

15.

Financial Regulation in an Agent-Based Macroeconomomic Model

Posted: 29 Oct 2013
Luca Riccetti, Alberto Russo and Mauro Gallegati
Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Università Politecnica delle Marche - Faculty of Economics

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financial regulation, agent-based macroeconomics, business cycle, crisis, unemployment, leverage

16.

Network Analysis and Calibration of the 'Leveraged Network-Based Financial Accelerator'

Posted: 12 Oct 2012 Last Revised: 20 May 2019
University of Florence - Department of Economics and Management, Università Politecnica delle Marche - Faculty of Economics, Università degli Studi di Macerata and Università Politecnica delle Marche, Ancona - Department of Management

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network, bankruptcy cascades, calibration, leverage