Mario Bondioli

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

10

DOWNLOADS

924

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.

Advanced Idiosyncratic Risk and Multi-Factor Models

Number of pages: 24 Posted: 07 Apr 2015 Last Revised: 02 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Downloads 244 (152,948)

Abstract:

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scenario, risk, CAPM, multifactor, predictive stress, correlated, idiosyncratic, APT

2.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 112 (295,234)
Citation 2

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Singular Spectrum Analysis, SSA, Random Matrix Theory, RMT, Wishart, correlations, stable, noise-reduced

3.

The Macro-Micro Model, Trends vs. Noise, and SSA - I

Number of pages: 12 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 103 (312,824)
Citation 1

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Macro, Micro, MM, time scales, real world, trend risk, Singular Spectrum Analysis, SSA, correlations, PFE, risk simulation, quasi-random, statistical trend model, historic “time-slice” trend

4.

Analytic Solution to the Two Dimension Merton Model

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 95 (329,672)

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Merton, two dimensional, local volatility, hybrid barrier, approximation, correlated default, structural, conformal

5.

Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis

Number of pages: 12 Posted: 30 Aug 2017
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 94 (331,920)

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Singular Spectrum Analysis, Risk Management, Correlations, Stable, Noise-Cleaned, Polynomials Generalizing Z-Score, Signal-To-Noise Ratio, Random Matrix Theory, Analytic Eigenvalues of Random Matrix, Business Decisions

6.

Macro-Micro, Trends vs. Noise, and SSA - II

Number of pages: 27 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 69 (397,887)

Abstract:

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macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage

7.

Advanced Idiosyncratic Risk and Multi-Factor Models – Short Version

Number of pages: 19 Posted: 01 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Downloads 60 (427,342)

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AI-Risk, correlated residuals, accurate correlations, cross-section regression, factor models

8.

Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management

Number of pages: 18 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 55 (445,450)
Citation 4

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Singular Spectrum Analysis, counterparty risk, correlations, stable, noise-cleaned, macro, business decisions

9.

Risk Tails and General Orthonormal Polynomials

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 54 (449,090)

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risk tails, probability distribution, moments, GONPOMs, Chebyshev, generalize, z-score

10.

HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR

Number of pages: 8 Posted: 12 Jul 2016 Last Revised: 14 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Downloads 38 (516,782)

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Hybrid Value at Risk, Historical VAR, Monte Carlo VAR, arbitrary mixture, mixing angle, correlation, jumps, fat tails