Giovanni Puccetti
Giovanni Puccetti
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Title
Cited by
Cited by
Year
Model uncertainty and VaR aggregation
P Embrechts, G Puccetti, L Rüschendorf
Journal of Banking & Finance 37 (8), 2750-5764, 2013
2772013
An Academic Response to Basel 3.5
P Embrechts, G Puccetti, L Rüschendorf, R Wang, A Beleraj
RISKS 2 (1), 25-48, 2014
1992014
Bounds for functions of dependent risks
P Embrechts, G Puccetti
Finance and Stochastics 10 (3), 341-352, 2006
1652006
Computation of sharp bounds on the distribution of a function of dependent risks
G Puccetti, L Rüschendorf
Journal of Computational and Applied Mathematics 236 (7), 1833-1840, 2011
1282011
Bounds for functions of multivariate risks
P Embrechts, G Puccetti
Journal of multivariate analysis 97 (2), 526-547, 2006
1242006
Aggregating risk capital, with an application to operational risk
P Embrechts, G Puccetti
The Geneva Risk and Insurance Review 31 (2), 71-90, 2006
1052006
Sharp bounds for sums of dependent risks
G Puccetti, L Rüschendorf
Journal of Applied Probability 50 (1), 42-53, 2012
822012
Extremal Dependence Concepts
G Puccetti, R Wang
Statistical Science 30 (4), 485-517, 2015
77*2015
Worst VaR scenarios
P Embrechts, A Höing, G Puccetti
Insurance: Mathematics and Economics 37 (1), 115-134, 2005
752005
Multivariate comonotonicity
G Puccetti, M Scarsini
Journal of Multivariate Analysis 101 (1), 291-304, 2010
652010
Bounds for joint portfolios of dependent risks
G Puccetti, L Rüschendorf
Statistics & Risk Modeling 29 (2), 107-132, 2011
562011
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
P Arbenz, P Embrechts, G Puccetti
Bernoulli 17 (2), 562-591, 2011
462011
Risk aggregation
P Embrechts, G Puccetti
Copula Theory and Its Applications, 111-126, 2010
452010
Advances in complete mixability
G Puccetti, B Wang, R Wang
Journal of Applied Probability 49 (2), 430-440, 2012
432012
Asymptotic equivalence of conservative VaR-and ES-based capital charges
G Puccetti, L Rüschendorf
Journal of Risk 16 (3), 3--22, 2014
422014
Bounds for the sum of dependent risks having overlapping marginals
P Embrechts, G Puccetti
Journal of Multivariate Analysis 101 (1), 177-190, 2010
402010
Sharp bounds on the expected shortfall for a sum of dependent random variables
G Puccetti
Statistics & Probability Letters 83 (4), 1227-1232, 2013
382013
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates.
G Puccetti, B Wang, R Wang
Insurance: Mathematics & Economics 53 (3), 821-828, 2013
382013
Reducing Model Risk via Positive and Negative Dependence Assumptions
V Bignozzi, G Puccetti, L Rüschendorf
Insurance: Mathematics & Economics, to appear, 2014
372014
Bounds for total economic capital: the DNB case study
K Aas, G Puccetti
Extremes, 2014
312014
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