We propose a novel systemic risk measurement model based on stochastic processes, correlation networks and conditional probabilities of default.For each country we consider three different economic sectors (sovereigns, corporates, banks) and we model each of them as a linear combination of two...

The assessment of the health impacts of the COVID-19 pandemic requires the consideration of mobility networks. To this aim, we propose to augment spatio-temporal point process models with mobility network covariates. We show how the resulting model can be employed to predict contagion patterns...

The COVID-19 pandemic has highlighted the importance of reliable statistical models which, based on the available data, can provide accurate forecasts and impact analysis of alternative policy measures. Here we propose Bayesian time dependent Poisson autoregressive models, that include time...

The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements, frequent among crypto assets. To achieve this aim we consider both systemic and tail risks as additional constraints in Markowitz model. We apply the methodology to the...

Lending to Small and Medium Enterprises (SME) is facilitated by the availability of advanced Machine Learning (ML) methods, embedded in financial technologies, which can accurately predict financial performance from the many data sources available. However, despite their high predictive...

A key point to assess the application of statistical learning models in Artificial Intelligence (AI) is the evaluation of their predictive accuracy. This because the "automatic" choice of an action crucially depends on the made prediction. While the best model in terms of fit to the observed...

A trustworthy application of Artificial Intelligence requires to measure in advance its possible risks. When applied to regulated industries, such as banking, finance and insurance, Artificial Intelligence methods lack explainability and, therefore, authorities aimed at monitoring risks may not...

In a world that is increasingly connected on-line, cyber risks become critical. Cyber risk management is very difficult, as cyber loss data are typically not disclosed. To mitigate the reputational risks associated with their disclosure, loss data may be collected in terms of ordered severity...

Italian abstract: In questo articolo proponiamo un’interpretazione adeguatrice della disciplina della s.r.l., che tenga conto non solo e non tanto del fenomeno del finanziamento via crowdfunding, ma anche e soprattutto del finanziamento via business angels e venture capital. Avanziamo quindi...