Fabio Caccioli

Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...

The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...

Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential...