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Giacomo Scandolo
Giacomo Scandolo
Verified email at unifi.it
Title
Cited by
Cited by
Year
Robustness and sensitivity analysis of risk measurement procedures
R Cont, R Deguest, G Scandolo
Quantitative finance 10 (6), 593-606, 2010
4632010
Conditional and dynamic convex risk measures
K Detlefsen, G Scandolo
Finance and stochastics 9, 539-561, 2005
4472005
Risk measures and capital requirements for processes
M Frittelli, G Scandolo
Mathematical finance 16 (4), 589-612, 2006
2162006
Liquidity risk theory and coherent measures of risk
C Acerbi, G Scandolo §
Quantitative Finance 8 (7), 681-692, 2008
1902008
Assessing financial model risk
P Barrieu, G Scandolo
European Journal of Operational Research 242 (2), 546-556, 2015
1012015
Risk measures in a dynamic setting
G Scandolo
Ph. D. Thesis, Universita degli Studi Milano, 2003
602003
General Pareto Optimal Allocations and Applications to Multi-Period Risks1
P Barrieu, G Scandolo
ASTIN Bulletin: The Journal of the IAA 38 (1), 105-136, 2008
372008
Models of capital requirements in static and dynamic settings
G Scandolo
Economic Notes 33 (3), 415-435, 2004
272004
Measuring Model Risk in the European Energy Exchange
A Gianfreda, G Scandolo
Handbook of Recent Advances in Commodity and Financial Modeling …, 2018
22018
Fukushima effect on commodity prices
A Gianfreda, G Scandolo
2013 10th International Conference on the European Energy Market (EEM), 1-7, 2013
22013
Matematica Finanziaria
G Scandolo
Amon Editore, 2013
22013
Assessing model risk in financial and energy markets using dynamic conditional VaRs
A Gianfreda, G Scandolo
Applied Stochastic Models in Business and Industry 40 (2), 408-433, 2024
12024
A worldwide analysis of the energy regulatory tasks and activities through the lenses of entropy and unsupervised statistical learning
A Gianfreda, G Scandolo
Energy 271, 126969, 2023
12023
An introduction to coherent risk measures
G Scandolo
Presentation, Risk Measures: Frontiers of Mathematics and Regulations …, 2015
12015
Higher moments in the fundamental specification of electricity forward prices
A Gianfreda, G Scandolo, DW Bunn
Quantitative Finance 22 (11), 2063-2078, 2022
2022
Revisiting Risk Premia in Electricity Markets
A Gianfreda, G Scandolo
Methods and Applications in Fluorescence, 291-296, 2022
2022
Forecasting Value-at-Risk for Model Risk Analysis in Energy Markets
A Gianfreda, G Scandolo
50th Scientific meeting of the Italian Statistical Society, 2018
2018
Energy Risk Management by Value-at-Risk
A Gianfreda100, G Scandolo101
How to Cope With Disrupted Times, 280, 2018
2018
Forecasting Value-at-Risk for Model Risk Analysis in Energy Markets
G Scandolo
Proceedings of the 49th Scientific meeting of the Italian Statistical …, 2018
2018
FFT methods for Measuring Risk
P Rossi, G Scandolo
2015
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Articles 1–20