Luciana Dalla Valle

University of Milan - Department of Economics, Business and Statistics

Via Festa del Perdono, 7

Milan, 20122

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

1,025

CITATIONS

1

Scholarly Papers (2)

1.

Copulae and Operational Risks

International Journal of Risk Assessment and Management, Forthcoming
Number of pages: 17 Posted: 11 Nov 2006
Luciana Dalla Valle, Dean Fantazzini and Paolo Giudici
University of Milan - Department of Economics, Business and Statistics, Moscow School of Economics, Moscow State University and University of Pavia - Faculty of Economics
Downloads 996 (21,445)
Citation 8

Abstract:

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Copula, Two-step estimation, Operational Risk, VaR, Expected Shortfall

2.

Bayesian Nonparametric Conditional Copula Estimation of Twin Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 8
Number of pages: 27 Posted: 21 Mar 2016 Last Revised: 22 Feb 2017
Luciana Dalla Valle, Fabrizio Leisen and Luca Rossini
University of Milan - Department of Economics, Business and Statistics, University of Kent - Canterbury Campus and VU University Amsterdam - Department of Econometrics
Downloads 29 (466,211)

Abstract:

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Bayesian nonparametrics, Conditional Copula models, Slice sampling