Roberto Torresetti

UBI Banca

Quantitative Analysis

Milan

Italy

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 10,259

in Total Papers Downloads

5,927

SSRN CITATIONS
Rank 15,078

SSRN RANKINGS

Top 15,078

in Total Papers Citations

5

CROSSREF CITATIONS

72

Scholarly Papers (15)

1.

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

Number of pages: 9 Posted: 25 Nov 2006
UBI Banca, Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 1,239 (20,828)
Citation 8

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
UBI Banca, Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 1,101 (24,780)
Citation 11

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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
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and UBI Banca
Downloads 1,011 (28,030)
Citation 5

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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
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and UBI Banca
Downloads 748 (42,532)
Citation 49

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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
UBI Banca, Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 514 (69,084)
Citation 17

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, Andrea Pallavicini and Andrea Pallavicini
UBI Banca and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 311 (123,274)
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
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and UBI Banca
Downloads 270 (143,018)
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
UBI Banca and illimity bank
Downloads 216 (177,760)
Citation 2

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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
UBI Banca and illimity Bank
Downloads 171 (219,217)
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
UBI Banca and illimity Bank
Downloads 111 (306,745)

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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
UBI Banca and illimity bank
Downloads 82 (372,555)
Citation 2

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12.

Bayesian Model Averaging for Satellite Models in Bank's Credit Risk Projections

Number of pages: 23 Posted: 18 Feb 2021
Roberto Torresetti
UBI Banca
Downloads 69 (410,585)
Citation 1

Abstract:

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: Satellite Model, Credit Risk, Probability of Default, PD, Bayesian Estimator, Complexity Prior, LASSO, RIDGE, BIC, Model Averaging.

13.

Operational Risk Bias Quanti fication and Correction

Number of pages: 12 Posted: 30 Dec 2014
Roberto Torresetti and Giacomo Le Pera
UBI Banca and illimity Bank
Downloads 54 (463,149)

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14.

A comparison of the performance of alternative Machine Learning algorithms on a credit risk dataset

Number of pages: 10 Posted: 09 Mar 2021
Roberto Torresetti
UBI Banca
Downloads 30 (576,073)

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Credit Risk, Probability of Default, PD, Machine Learning, Bayesian Model Average, Markov Chain Monte Carlo, MCMC, Regression Trees, Random Forest, Ensemble Learning, AdaBoost, Adaptive Boosting, GrdBoost, Gradient Boosting, Bootstrap Aggregating, Bagging.

15.

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
UBI Banca and illimity bank
Downloads 0 (809,837)
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Abstract:

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