Jacopo Corbetta

Ecole des Ponts ParisTech

6-8 avenue Blaise-Pascal, Cité Descartes

Champs-sur-Marne

Marne-la-Vallée Cedex 2 , 77455

France

SCHOLARLY PAPERS

2

DOWNLOADS

220

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (2)

1.

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 176 (186,169)
Citation 1

Abstract:

Loading...

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

2.

Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems

Number of pages: 52 Posted: 20 Nov 2017
Aurélien Alfonsi, Jacopo Corbetta and Benjamin Jourdain
Université Paris Est - CERMICS, Ecole des Ponts ParisTech and Université Paris Est - CERMICS
Downloads 44 (444,336)
Citation 4

Abstract:

Loading...

Convex order, Martingale Optimal Transport, Wasserstein distance, Sampling techniques, Linear Programming