Rosella Giacometti

Publication Activity (10 Years)

Years Active: 2000-2024
Publications (10 Years): 9

Top Topics

Management Science

Banking Industry

Community Structure

Top Venues

Ann. Oper. Res.

Comput. Manag. Sci.

Commun. Nonlinear Sci. Numer. Simul.

J. Oper. Res. Soc.

Publications

Gabriele Torri, Rosella Giacometti, Sandra Paterlini
Penalized enhanced portfolio replication with asymmetric deviation measures. Ann. Oper. Res. 332 (1) (2024)
Gabriele Torri, Rosella Giacometti
Financial contagion in banking networks with community structure. Commun. Nonlinear Sci. Numer. Simul. 117 (2023)
Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza
Joint tails impact in stochastic volatility portfolio selection models. Ann. Oper. Res. 292 (2) (2020)
Rosella Giacometti, Gabriele Torri, Giulia Farina, Maria Elena De Giuli
Risk attribution and interconnectedness in the EU via CDS data. Comput. Manag. Sci. 17 (4) (2020)
Rosella Giacometti, Berç Rustem
14th International Conference on Computational Management Science. Comput. Manag. Sci. 16 (1-2) (2019)
Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi
Market implied volatilities for defaultable bonds. Ann. Oper. Res. 275 (2) (2019)
Giulia Farina, Rosella Giacometti, Maria Elena De Giuli
Systemic risk attribution in the EU. J. Oper. Res. Soc. 70 (7) (2019)
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
Sparse precision matrices for minimum variance portfolios. Comput. Manag. Sci. 16 (3) (2019)
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
Robust and sparse banking network estimation. Eur. J. Oper. Res. 270 (1) (2018)
Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti
Structural Credit Risk Models with Subordinated Processes. J. Appl. Math. 2013 (2013)
Rosella Castellano, Rosella Giacometti
Credit default swaps: implied ratings versus official ones. 4OR 10 (2) (2012)
Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Ann. Oper. Res. 201 (1) (2012)
Rosella Giacometti, Sergio Ortobelli Lozza, Marida Bertocchi
A Stochastic Model for Mortality Rate on Italian Data. J. Optim. Theory Appl. 149 (1) (2011)
Rosella Giacometti, Mariangela Teocchi
On pricing of credit spread options. Eur. J. Oper. Res. 163 (1) (2005)
Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios
Risk factor analysis and portfolio immunization in the corporate bond market. Eur. J. Oper. Res. 161 (2) (2005)
Marida Bertocchi, Rosella Giacometti, Leon Slominski
Bond portfolio management with repo contracts: the Italian case. Ann. Oper. Res. 97 (1-4) (2000)