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Hedge accounting and risk management : an advanced prospective model for testing hedge effectiveness
Di Clemente, Annalisa - In: Economic notes : economic review of Banca Monte dei … 44 (2015) 1, pp. 29-55
Persistent link: https://www.econbiz.de/10011342101
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Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio
Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...
Persistent link: https://www.econbiz.de/10012309082
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Measuring portfolio value-at-risk by a Copula-Evt based approach
Di Clemente, Annalisa; Romano, Claudio - In: Studi economici : rivista quadrimestrale 60 (2005) 1, pp. 29-57
Persistent link: https://www.econbiz.de/10003795532