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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

Improving loan portfolio optimization by importance sampling techniques : evidence on Italian banking banks

Di Clemente, Annalisa - In: Economic notes : economic review of Banca Monte dei … 43 (2014) 2, pp. 167-191

Persistent link: https://www.econbiz.de/10010500937

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

L' impatto di Basilea II sulle opportunità di finanziamento delle piccole e medie imprese italiane

Di Clemente, Annalisa - In: Rassegna economica : rivista internazionale di economia … 68 (2005) 1, pp. 5-40

Persistent link: https://www.econbiz.de/10003410392

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

Measuring and optimizing portfolio credit risk : a Copula-based approach

Di Clemente, Annalisa; Romano, Claudio A. - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 3, pp. 325-357

Persistent link: https://www.econbiz.de/10003690352

La misurazione integrata dei rischi bancari : uno studio simulativo

Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 64 (2009) 3, pp. 75-103

Persistent link: https://www.econbiz.de/10003981474

The credit securitisation process as a tool of portfolio credit risk managing

Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 66 (2011) 2, pp. 5-27

Persistent link: https://www.econbiz.de/10009518416