Rosella GIACOMETTI

Professore Ordinario

Dipartimento di Scienze Aziendali

Settore Scientifico Disciplinare: METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE (SECS-S/06)

Posizione organizzativa:

Preside della Scuola di Management (Scuola di Economia e Management)

Curriculum vitae (ITA)

Contatti

Telefono: +39 0352052560

FAX: +39 0352052549

E-mail:

rosella.giacometti@unibg.it

Sede di lavoro:

CANIANA

stanza 104

Insegnamenti

Pubblicazioni

Giacometti Rosella, Torri Gabriele, Paterlini Sandra; (2021) Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models, QUANTITATIVE FINANCE, pp. 243 - 261, https://doi.org/10.1080/14697688.2020.1820072, Dettaglio
Bonomelli M., Giacometti R., Ortobelli Lozza S.; (2020) Joint tails impact in stochastic volatility portfolio selection models, ANNALS OF OPERATIONS RESEARCH, pp. 833 - 848, https://doi.org/10.1007/s10479-020-03531-w, Dettaglio
Russo Vincenzo, Giacometti Rosella, Fabozzi Frank J.; (2020) Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling, THE JOURNAL OF DERIVATIVES, pp. 88 - 103, https://doi.org/10.3905/jod.2020.1.104, Dettaglio
Torri Gabriele, Giacometti Rosella, Paterlini Sandra; (2019) Sparse precision matrices for minimum variance portfolios, COMPUTATIONAL MANAGEMENT SCIENCE, pp. 375 - 400, https://doi.org/10.1007/s10287-019-00344-6, Dettaglio
Farina G., Giacometti R., De Giuli M. E.; (2019) Systemic risk attribution in the EU, JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, pp. 1115 - 1128, https://doi.org/10.1080/01605682.2018.1487823, Dettaglio
Torri Gabriele, Giacometti Rosella, Paterlini Sandra; (2018) Robust and sparse banking network estimation, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, pp. 51 - 65, https://doi.org/10.1016/j.ejor.2018.03.041, Dettaglio
Russo Vincenzo, Giacometti Rosella, Fabozzi Frank J.; (2017) Intensity-based framework for surrender modeling in life insurance, INSURANCE MATHEMATICS & ECONOMICS, pp. 189 - 196, https://doi.org/10.1016/j.insmatheco.2016.11.001, Dettaglio
Fabozzi Frank J., Giacometti Rosella, Tsuchida Naoshi; (2016) Factor decomposition of the Eurozone sovereign CDS spreads, JOURNAL OF INTERNATIONAL MONEY AND FINANCE, pp. 1 - 23, https://doi.org/10.1016/j.jimonfin.2016.03.003, Dettaglio
Vincenzo Russo, Giacometti Rosella, Svetlozar T. Rachev, Frank J. Fabozzi; (2015) A Three-Factor model for mortality modeling, NORTH AMERICAN ACTUARIAL JOURNAL, pp. 129 - 141, https://doi.org/10.1080/10920277.2015.1015262, Dettaglio
Pianeti Riccardo, Giacometti Rosella; (2015) Estimating the probability of multiple EU sovereign defaults using CDS and bond data, QUANTITATIVE FINANCE, pp. 61 - 78, https://doi.org/10.1080/14697688.2014.932919, Dettaglio
Zhou Xiaoping, Giacometti Rosella, Fabozzi FRANK J., Tucker ANN H.; (2014) Bayesian estimation of truncated data with applications to operational risk measurement, QUANTITATIVE FINANCE, pp. 863 - 888, https://doi.org/10.1080/14697688.2012.752103, Dettaglio
Kim YOUNG SHIN, Giacometti Rosella, Rachev SVETLOZAR T., Fabozzi FRANK J., Mignacca Domenico; (2012) Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model, ANNALS OF OPERATIONS RESEARCH, pp. 325 - 343, https://doi.org/10.1007/s10479-012-1229-8, Dettaglio
Russo Vincenzo, Giacometti Rosella, Ortobelli Lozza Sergio, Rachev Svetlozar T., Fabozzi Frank J.; (2011) Calibrating affine stochastic mortality models using term assurance premiums, INSURANCE MATHEMATICS & ECONOMICS, pp. 53 - 60, https://doi.org/10.1016/j.insmatheco.2011.01.015, Dettaglio
Giacometti Rosella, Bertocchi Maria, ORTOBELLI LOZZA Sergio; (2009) Impact of different distributional assumptions in forecasting Italian mortality rates, INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS, pp. 65 - 72, , Dettaglio
Giacometti Rosella, Rachev SVETLOZAR TODOROV, Bertocchi Maria, Fabozzi FRANK J.; (2008) Stable distributions in the Black-Litterman approach to asset allocation, Quantitative Fund Management, pp. 359 - 377, , Dettaglio

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Anno accademico: 2022/2023

Anno accademico: 2021/2022

Anno accademico: 2020/2021

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