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Gabriele Torri

University of Bergamo

Via dei Caniana 2

Bergamo, 24122

Italy

  • University of Bergamo

SCHOLARLY PAPERS

8

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1,653

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in Total Papers Citations

33

Scholarly Papers (8)

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1.

On the Origin of Systemic Risk

Downloads 479 (148,004)
Citation 12

On the Origin of Systemic Risk

Number of pages: 42 Posted: 13 Nov 2020
Mattia Montagna, Gabriele Torri and Giovanni Covi
European Central Bank (ECB), University of Bergamo and Bank of England
Downloads 246 (307,665)
Citation 7

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Systemic risk, financial contagion, microstructural models

On the Origin of Systemic Risk

Bank of England Working Paper No. 906
Number of pages: 49 Posted: 03 Feb 2021
Mattia Montagna, Gabriele Torri and Giovanni Covi
European Central Bank (ECB), University of Bergamo and Bank of England
Downloads 138 (531,514)

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Systemic risk, financial contagion, microstructural models

On the Origin of Systemic Risk

ECB Working Paper No. 20202502
Number of pages: 52 Posted: 15 Dec 2020
Mattia Montagna, Gabriele Torri and Giovanni Covi
European Central Bank (ECB), University of Bergamo and Bank of England
Downloads 95 (721,228)
Citation 5

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2.

Sparse Precision Matrices for Minimum Variance Portfolios

Number of pages: 36 Posted: 10 May 2017 Last Revised: 15 Jun 2018
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo - Department of Management and University of Trento - Department of Economics and Management
Downloads 360 (207,095)
Citation 6

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minimum variance, precision matrix, graphical lasso, tlasso

3.

Tail Risks in Large Portfolio Selection: Penalized Quantile and Expectile Minimum Deviation Models

Number of pages: 39 Posted: 26 May 2020 Last Revised: 04 Sep 2020
Rosella Giacometti, Gabriele Torri and Sandra Paterlini
University of Bergamo - Department of Management, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 259 (296,486)
Citation 2

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization

4.

Robust and Sparse Banking Network Estimation

Number of pages: 35 Posted: 24 Aug 2017
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo - Department of Management and University of Trento - Department of Economics and Management
Downloads 149 (497,070)
Citation 9

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Finance, Financial Networks, Tlasso, Graphical Models, Strength Centrality

5.

Penalized Expectiles Optimal Portfolios

Number of pages: 18 Posted: 30 Jan 2022 Last Revised: 04 May 2023
Gabriele Torri and Rosella Giacometti
University of Bergamo and University of Bergamo - Department of Management
Downloads 147 (508,926)

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Expectiles, portfolio optimization, regularization, linear programming

6.

Network Tail Risk Estimation in the European Banking System

Number of pages: 28 Posted: 08 Jan 2021
Gabriele Torri, Rosella Giacometti and Tomas Tichy
University of Bergamo, University of Bergamo - Department of Management and VSB - Technical University of Ostrava
Downloads 135 (540,814)
Citation 4

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Financial Networks, Systemic Risk, Graphical Models, CoVaR, Tail Risk

7.

Generalized precision matrices to capture financial dependence

Number of pages: 45 Posted: 01 Dec 2023 Last Revised: 05 May 2025
Gabriele Torri, Gyorgy Terdik, Emanuele Taufer, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Debrecen - Institute of Mathematics and Informatics, University of Trento - Department of Economics and Management, University of Bergamo - Department of Management and University of Trento - Department of Economics and Management
Downloads 97 (720,278)

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Generalized Precision Matrix, Interconnectedness, Gram-Charlier, Tail Dependence

8.

Modeling portfolio loss distribution under infectious defaults and immunization

Number of pages: 27 Posted: 19 Sep 2025
Gabriele Torri, Rosella Giacometti and . .
University of Bergamo, University of Bergamo - Department of Management and Mediobanca
Downloads 27 (1,359,097)

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Portfolio loss distribution, CDO, contagion, infection