Ilaria Peri

University of London - Economics, Mathematics and Statistics

United States

SCHOLARLY PAPERS

5

DOWNLOADS

585

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Scientific Research Measures

Swiss Finance Institute Research Paper No. 13-37
Number of pages: 28 Posted: 02 Jul 2013 Last Revised: 30 Jan 2015
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 211 (156,598)

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

2.

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk

Number of pages: 20 Posted: 15 Mar 2017 Last Revised: 23 Mar 2018
Asmerilda Hitaj, Cesario Mateus and Ilaria Peri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Aalborg University and University of London - Economics, Mathematics and Statistics
Downloads 178 (182,996)

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banking regulation, financial risk management, risk modelling, value at risk

3.

A New Approach to Backtesting and Risk Model Selection

Number of pages: 43 Posted: 17 Jun 2016 Last Revised: 14 Oct 2018
Jacopo Corbetta and Ilaria Peri
Ecole des Ponts ParisTech and University of London - Economics, Mathematics and Statistics
Downloads 175 (185,736)
Citation 1

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backtesting, capital requirement, hypothesis test, risk measures, model selection

4.

Online Appendix for: 'Scientific Research Measures'

Number of pages: 12 Posted: 09 Dec 2014
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 21 (556,049)

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

5.

Risk Measures on and Value at Risk with Probability/Loss Function

Mathematical Finance, Vol. 24, Issue 3, pp. 442-463, 2014
Number of pages: 22 Posted: 11 Jun 2014
Marco Frittelli, Marco Maggis and Ilaria Peri
University of Florence - Dipartimento di Matematica, Milano University and University of London - Economics, Mathematics and Statistics
Downloads 0 (719,296)
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Value at Risk, distribution functions, quantiles, law invariant risk measures, quasi‐convex functions, dual representation