Umberto Cherubini

University of Bologna - Department of Economics

Professor

Strada Maggore, 45

Bologna, FI 40125

Italy

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 7,498

SSRN RANKINGS

Top 7,498

in Total Papers Downloads

6,522

SSRN CITATIONS
Rank 9,469

SSRN RANKINGS

Top 9,469

in Total Papers Citations

86

CROSSREF CITATIONS

34

Scholarly Papers (18)

1.

Multivariate Option Pricing with Copulas

Number of pages: 23 Posted: 14 May 2001
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics
Downloads 1,517 (12,750)
Citation 18

Abstract:

Loading...

option pricing, basket options, copula functions, non-normal returns.

2.

A Theory of Eurobonds

Number of pages: 22 Posted: 16 Sep 2011 Last Revised: 18 Nov 2012
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 819 (32,000)
Citation 5

Abstract:

Loading...

Eurobond, sovereign debt, credit risk, interest rate

3.

Prudent Valuation Guidelines and Sound Practices

Number of pages: 148 Posted: 16 Jun 2016 Last Revised: 26 Aug 2018
Marco Bianchetti and Umberto Cherubini
Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Economics
Downloads 818 (32,055)

Abstract:

Loading...

AIFIRM, CRR, EBA, AVA, Additional Valuation Adjustments, prudent valuation, fair valuation, valuation uncertainty, valuation risk, ambiguity, liquidity, correlation, market price uncertainty, close out cost, model risks, unearned credit spread, investing and funding cost, concentrated position

4.

Pricing Vulnerable Options with Copulas

ICER Working Paper, 2001
Number of pages: 38 Posted: 21 Feb 2002
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics
Downloads 648 (43,913)
Citation 8

Abstract:

Loading...

Credit risk, vulnerable options, copula functions

5.

Pricing Swap Credit Risk with Copulas

Number of pages: 15 Posted: 07 May 2004
Umberto Cherubini
University of Bologna - Department of Economics
Downloads 608 (47,794)
Citation 5

Abstract:

Loading...

Copula functions, Swap counterpart risk, Derivative Pricing

6.

Accounting Fraud and the Pricing of Corporate Liabilities: Structural Models with Garbling

Number of pages: 26 Posted: 17 Feb 2005 Last Revised: 12 Mar 2008
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 475 (65,311)
Citation 6

Abstract:

Loading...

Accounting, Information, Asset pricing, Credit spreads

7.

Pricing and Hedging Vulnerable Credit Derivatives with Copulas

Number of pages: 25 Posted: 23 Jul 2003
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics
Downloads 441 (71,427)
Citation 1

Abstract:

Loading...

8.

Marking-to-Market Government Guarantees to Financial Systems: An Empirical Analysis of Europe

Number of pages: 35 Posted: 30 Nov 2010
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 317 (104,478)
Citation 7

Abstract:

Loading...

Banking, Public sector budget, financial crisis

9.

Copula Based Martingale Processes and Financial Prices Dynamics

Number of pages: 17 Posted: 17 Jul 2008
Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli
University of Bologna - Department of Economics, Università Cattolica del Sacro Cuore di Milano and University of Bologna - Department of Statistics
Downloads 278 (120,312)
Citation 1

Abstract:

Loading...

Copula functions,Stochastic Processes, Option Pricing, Markov Processes

10.

Government Bonds Ammunitions for the ECB Quantitative Easing

Number of pages: 78 Posted: 06 Feb 2015
Umberto Cherubini and Roberto Violi
University of Bologna - Department of Economics and Bank of Italy
Downloads 237 (141,608)
Citation 3

Abstract:

Loading...

Quantitative Easing, Securitization, Gaussian Copula Function, Senior Debt

11.

Hunting the Living Dead: A 'Peso Problem' in Corporate Liabilities Data

Number of pages: 28 Posted: 15 Jun 2005
Matteo Manera and Umberto Cherubini
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and University of Bologna - Department of Economics
Downloads 131 (238,145)
Citation 73

Abstract:

Loading...

Credit risk, Corporate debt, Peso problem, Maximum likelihood, Transformed data

12.

The Econometrics of Redenomination Risk

Number of pages: 52 Posted: 26 Jun 2019 Last Revised: 07 Jul 2020
Umberto Cherubini
University of Bologna - Department of Economics
Downloads 65 (372,974)
Citation 3

Abstract:

Loading...

Credit Default Swaps, Copula functions, Redenomination Risk, MLE on transformed data

13.

Generalized Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson

Number of pages: 37 Posted: 09 Mar 2020 Last Revised: 06 Apr 2020
Peter Carr and Umberto Cherubini
New York University (NYU) - Finance and Risk Engineering Department and University of Bologna - Department of Economics
Downloads 60 (388,286)

Abstract:

Loading...

Kelly Crierion, Growth Optimal Portfolio, Speculative Price Dynamics, Stochastic Clock Models

14.

Sovereign Credit Spreads: A Bailout Model with PSI

Number of pages: 20 Posted: 19 Feb 2015
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 52 (415,345)

Abstract:

Loading...

sovereign debt crisis, bailout, private sector involvement, credit spreads, euro area

15.

Singularity Bias, Systemic Risk and Credit Indexes

Number of pages: 41 Posted: 27 Jun 2019 Last Revised: 01 Jul 2019
Umberto Cherubini, Fabio Gobbi and Sabrina Mulinacci
University of Bologna - Department of Economics, University of Siena and University of Bologna - Department of Statistics
Downloads 36 (479,433)
Citation 1

Abstract:

Loading...

Systemic Risk, Credit Indexes, Marshall Olkin Models, Copula Functions

16.

Convolution Autoregressive Processes

Number of pages: 17 Posted: 09 Jun 2018
Umberto Cherubini, Fabio Gobbi and Sabrina Mulinacci
University of Bologna - Department of Economics, University of Siena and University of Bologna - Department of Statistics
Downloads 19 (574,279)

Abstract:

Loading...

Copula Functions, Autoregressive Processes, Excess Volatility, Extrapolative Bias

17.

The Dependence Structure of Running Maxima and Minima: Results and Option Pricing Applications

Mathematical Finance, Vol. 20, Issue 1, pp. 35-58, January 2010
Number of pages: 24 Posted: 18 Jan 2010
Umberto Cherubini and Silvia Romagnoli
University of Bologna - Department of Economics and University of Bologna - Department of Statistics
Downloads 1 (709,099)
  • Add to Cart

Abstract:

Loading...

18.

Value-at-Risk Trade-Off and Capital Allocation with Copulas

Posted: 08 Jun 2001
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics

Abstract:

Loading...