Roberto Torresetti

Banco Popolare

Internal Validation

Milan

Italy

SCHOLARLY PAPERS

13

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5,610

SSRN CITATIONS
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Top 12,526

in Total Papers Citations

2

CROSSREF CITATIONS

68

Scholarly Papers (13)

1.

Implied Correlation in CDO Tranches: A Paradigm to be Handled with Care

Number of pages: 9 Posted: 25 Nov 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Banco Popolare, Imperial College London - Department of Mathematics and Banca IMI
Downloads 1,206 (16,335)
Citation 7

Abstract:

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Implied Correlation, Base Correlation, Compound Correlation, Expected Tranche Loss, DJ iTraxx, CDX, CDO Tranche, Back-Test, No-Arbitrage Conditions

2.

Risk Neutral Versus Objective Loss Distribution and CDO Tranches Valuation

Number of pages: 15 Posted: 14 May 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Banco Popolare, Imperial College London - Department of Mathematics and Banca IMI
Downloads 1,086 (19,145)
Citation 9

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Default Rate distribution, CDO, CDO tranches, Perfect Copula, Transition Matrices, Rating Classes, Risk Premium, Recovery Rate

3.

Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs

Number of pages: 66 Posted: 31 Dec 2009 Last Revised: 18 Feb 2010
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Banca IMI and Banco Popolare
Downloads 978 (22,343)
Citation 4

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Credit Crisis, Credit Derivatives, Gaussian Copula Model, Implied Correlation, Base Correlation, Compound Correlation, Implied Copula, Dynamic Loss Model, GPL Model, Arbitrage Free Models, Collateralized Debt Obligations, DJi-Traxx and CDX Tranches, CDO Tranche Calibration

4.

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Number of pages: 35 Posted: 11 May 2006 Last Revised: 30 Apr 2010
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Banca IMI and Banco Popolare
Downloads 712 (34,855)
Citation 45

Abstract:

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Loss Distribution, Loss Dynamics, Calibration, CDO Tranches and Tranchelets, Generalized Poisson Processes, Gamma intensity, Spread Dynamics

5.

Implied Expected Tranched Loss Surface from CDO Data

Number of pages: 13 Posted: 28 Sep 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Banco Popolare, Imperial College London - Department of Mathematics and Banca IMI
Downloads 497 (55,738)
Citation 15

Abstract:

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expected tranche loss, loss surface, implied correlation, CDO, tranches, interpolation

6.

Stressing Rating Criteria Allowing for Default Clustering: the CPDO case

Number of pages: 37 Posted: 15 Jan 2008 Last Revised: 09 Sep 2009
Roberto Torresetti and Andrea Pallavicini
Banco Popolare and Banca IMI
Downloads 300 (100,709)
Citation 2

Abstract:

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CPDO Rating, Rating Arbitrage, Structured Finance, Loss Distribution, Loss Dynamics, Cluster Default Dynamics, Gap Risk

7.

Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model

Number of pages: 35 Posted: 14 Jan 2007
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Banca IMI and Banco Popolare
Downloads 263 (115,869)
Citation 6

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Loss Distribution, Loss Dynamics, Single Name Default Dynamics, Cluster Default Dynamics, Calibration, Generalized Poisson Process, Stochastic Intensity, Spread Dynamics, Common Poisson Shock Models

8.

Scaling Operational Loss Data and Its Systemic Risk Implications

Number of pages: 15 Posted: 27 Nov 2013 Last Revised: 12 Feb 2014
Roberto Torresetti and Claudio Nordio
Banco Popolare and illimity Bank
Downloads 199 (152,386)
Citation 1

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Operational Risk, Power Law, Loss Distribution Approach, Advanced Measurement Approach, VaR, Single Loss Approximation, Extreme Value Theory, External Loss Data, Consortium Loss Data, Rescaling, Scaling, Mixture Distribution, Asymptotic Approximation.

9.

Classification and Diversification Benefit for Operational Risk Data

Number of pages: 15 Posted: 15 Nov 2013 Last Revised: 12 Feb 2014
Roberto Torresetti and Giacomo Le Pera
Banco Popolare and Banco Popolare
Downloads 147 (198,573)
Citation 3

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Operational Risk, Classification, Loss Distribution Approach, Advanced Measurement Approach, VaR, Diversification, Correlation, Single Loss Approximation, Extreme Events, Sub-exponential Distribution, Regularly Varying Distributions, Poisson Process, Compound Process, Mixture Distribution

10.

A Comparison of Alternative Mixing Model for External Data in Operational Risk

Journal of Operational Risk, 2015
Number of pages: 13 Posted: 30 Dec 2014
Roberto Torresetti and Giacomo Le Pera
Banco Popolare and Banco Popolare
Downloads 105 (256,279)

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11.

Truncated Lognormals as a Power Law Mimicry in Operational Risk

Number of pages: 12 Posted: 30 Dec 2014
Roberto Torresetti and Claudio Nordio
Banco Popolare and illimity Bank
Downloads 72 (324,011)
Citation 2

Abstract:

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12.

Operational Risk Bias Quanti fication and Correction

Number of pages: 12 Posted: 30 Dec 2014
Roberto Torresetti and Giacomo Le Pera
Banco Popolare and Banco Popolare
Downloads 45 (405,472)

Abstract:

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13.

Truncated Lognormals As a Power-Law Mimic in Operational Risk

Journal of Operational Risk, Vol. 10, No. 3, 2015
Number of pages: 22 Posted: 01 Jul 2016
Roberto Torresetti and Claudio Nordio
Banco Popolare and illimity Bank
Downloads 0 (669,642)
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Abstract:

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operational risk, power-law, truncated lognormals, mixture distributions, advanced uncated lognormals, mixture distributions, advanced