Antonio Dalessandro

UBS AG

London

United Kingdom

University College London

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

8

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Top 6,993

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8,113

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

A Stochastic Processes Toolkit for Risk Management

Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 05 Oct 2008
Damiano Brigo, Antonio Dalessandro, Antonio Dalessandro, Matthias Neugebauer and Fares Triki
Imperial College London - Department of Mathematics, University College LondonUBS AG, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads 6,389 (1,377)
Citation 14

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Risk Management, Stochastic Processes, Maximum Likelihood Estimation, Fat Tails, Mean Reversion, Monte Carlo Simulation

2.

Effective Strategies for Assets and Liabilities Management

Number of pages: 19 Posted: 14 Feb 2014
Antonio Dalessandro and Antonio Dalessandro
University College LondonUBS AG
Downloads 1,092 (25,136)

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Asset and Liability Management (ALM), Funds Transfer Pricing Systems, Funding Costs, ALM strategy, FTP Curve, Balance Sheet, Financial Institution, Capital and Funding Management, Liquidity, VaR, ROE, WACC, Basel III

3.

Credit Migration Risk and Point in Time Credit Dynamics: A New Perspective for Credit Risk Management

Number of pages: 48 Posted: 08 Dec 2011
Antonio Dalessandro and Antonio Dalessandro
University College LondonUBS AG
Downloads 320 (119,772)
Citation 1

Abstract:

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credit rating, credit migration matrices, point-in-time credit dynamics, credit cycle, dynamic credit migration correlation, continuous time-inhomogeneous, Markov chains, functional analysis

4.

All Your Hedges in One Matrix

Number of pages: 32 Posted: 08 Dec 2011
Antonio Dalessandro and Antonio Dalessandro
University College LondonUBS AG
Downloads 144 (253,086)
Citation 1

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implied credit rating, point-in-time credit dynamics, dynamic correlated defaults, local correlation, credit cycle, market state dependent recovery, credit risk premia, asymmetric variance gamma process, continuous time-inhomogeneous Markov chains, functional analysis

5.

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G.W. Methodology and Computing in Applied Probability (2017). doi:10.1007/s11009-017-9545-8
Number of pages: 35 Posted: 26 Feb 2015 Last Revised: 04 Sep 2019
Antonio Dalessandro, Antonio Dalessandro, Gareth Peters and Gareth Peters
University College LondonUBS AG and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 87 (359,839)
Citation 2

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Martingale Representation; Semimartingales Decomposition; Copula InīŦnitesimal Generators

6.

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas: Part A

Number of pages: 34 Posted: 22 Jul 2016 Last Revised: 05 Jul 2020
Antonio Dalessandro, Antonio Dalessandro, Gareth Peters and Gareth Peters
University College LondonUBS AG and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 81 (375,748)
Citation 1

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Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor algebra

7.

Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

Dalessandro, A., Peters, G.W. Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas. Methodol Comput Appl Probab (2019). https://doi.org/10.1007/s11009-019-09752-2
Posted: 03 Oct 2016 Last Revised: 16 Jul 2020
Antonio Dalessandro, Antonio Dalessandro, Gareth Peters and Gareth Peters
University College LondonUBS AG and University College London - Department of Statistical ScienceUniversity of California Santa Barbara

Abstract:

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Concordance Measures, Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor Algebra

8.

Markov Chain Monte Carlo Toolkit

Posted: 12 Feb 2014 Last Revised: 13 Feb 2014
Antonio Dalessandro and Antonio Dalessandro
University College LondonUBS AG

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Metropolis, Metropolis-Hastings Sampler, Blockwise Sampler, Component-wise Sampler, Gibbs Sampler, Hybrid Markov Chain Monte Carlo, Hamiltonian MCMC