Luca Riccetti

Università degli Studi di Macerata

Researcher

via Crescimbeni

Macerata

Italy

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

SCHOLARLY PAPERS

23

DOWNLOADS

1,359

SSRN CITATIONS
Rank 30,586

SSRN RANKINGS

Top 30,586

in Total Papers Citations

29

CROSSREF CITATIONS

6

Scholarly Papers (23)

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 Polytechnic University of Marche - Faculty of Economics
Downloads 194 (284,405)
Citation 22

Abstract:

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

2.

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

Number of pages: 20 Posted: 09 Sep 2013
Giulio Palomba and Luca Riccetti
Polytechnic University of Marche - Faculty of Economics and Università degli Studi di Macerata
Downloads 171 (318,212)
Citation 2

Abstract:

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

3.

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
Sapienza University of Rome - Dipartimento Banche Assicurazioni Mercati, Sapienza University of Rome and Università degli Studi di Macerata
Downloads 169 (321,383)
Citation 1

Abstract:

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

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 146 (363,296)

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

5.

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 122 (417,480)

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

6.

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 92 (509,437)
Citation 1

Abstract:

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

7.

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 Polytechnic University of Marche - Faculty of Economics
Downloads 89 (520,132)
Citation 9

Abstract:

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agent-based model, business cycle, inequality, crisis

8.

The Financial Network Channel of Monetary Policy Transmission: An Agent-Based Model

Number of pages: 35 Posted: 21 Feb 2022
Government of the Federative Republic of Brazil - Central Bank of Brazil, University of São Paulo (USP) - Department of Economics, Università degli Studi di Macerata and Università Politecnica delle Marche, Ancona - Department of Management
Downloads 63 (631,943)

Abstract:

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Financial network, monetary policy shocks, agent-based modeling

9.

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 61 (642,232)

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expected punishment, illegal behavior, utility function

10.

A Large Scale Data-Driven Agent Based Model for the Italian Economy

Number of pages: 41 Posted: 18 Dec 2023 Last Revised: 22 Jan 2024
Università degli Studi di Macerata, Università Ca' Foscari Venezia - Department of Economics and Università degli Studi di Macerata
Downloads 58 (663,728)

Abstract:

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agent-based models, macroeconomic forecasting, micro data

11.

Firm-Bank Credit Network, Business Cycle and Macroprudential Policy

Number of pages: 28 Posted: 09 Apr 2020
Luca Riccetti, Alberto Russo and Mauro Gallegati
Università degli Studi di Macerata, Università Politecnica delle Marche, Ancona - Department of Management and Polytechnic University of Marche - Faculty of Economics
Downloads 58 (658,165)

Abstract:

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Agent-based modeling, credit network, business cycle, financial regulation, macroprudential policy.

12.

Simulating the Industrial Revolution: A History-Friendly Model

Number of pages: 32 Posted: 26 Apr 2023
Nicola Visonà and Luca Riccetti
Università degli Studi di Macerata - Department of Economics and Law and Università degli Studi di Macerata
Downloads 47 (723,359)

Abstract:

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Agent-Based Models, History-Friendly Models, Industrial Revolution, Macroeconomics

13.

Diffusion Delay Centrality: Decelerating Diffusion Processes Across Networks

Number of pages: 25 Posted: 18 Aug 2020
Valerio Leone Sciabolazza and Luca Riccetti
University of Naples and Università degli Studi di Macerata
Downloads 47 (723,359)

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network, contagion, betweenness centrality, eigenvector centrality

14.

The Debatable Concept of Consumer Surplus and the Rationing Mechanism

Number of pages: 5 Posted: 13 Jan 2023
Stefano Perri and Luca Riccetti
Università degli Studi di Macerata and Università degli Studi di Macerata
Downloads 26 (883,544)

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Consumer surplus, demand curve, heterogeneity, maximum price, rationing

15.

The relevance for modeling market exchanges of local interaction, heterogeneity, and number of agents

Number of pages: 29 Posted: 20 Dec 2023
Jacopo Di Domenico and Luca Riccetti
Università degli Studi di Macerata and Università degli Studi di Macerata
Downloads 16 (990,093)

Abstract:

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incomplete information, local interaction, heterogeneity, scale, complexity

16.

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

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BRRD, bail-in, stock market volatility

17.

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 (1,118,704)
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Abstract:

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risk management, active portfolio management, benchmarking, tracking error, value-at-risk (VaR), mean–variance dominance

18.

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

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

Abstract:

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

19.

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 Polytechnic University of Marche - Faculty of Economics

Abstract:

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

20.

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 Polytechnic University of Marche - Faculty of Economics

Abstract:

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

21.

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 Polytechnic University of Marche - Faculty of Economics

Abstract:

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

22.

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 Polytechnic University of Marche - Faculty of Economics

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

23.

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, Polytechnic University of 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