WORK IN PROGRESS
Books
- Hedging and risk-return frontier in insurance: an ALM
perspective, Springer-Bocconi, with Clemente de Rosa
and Luca Regis
Articles
- Multiple equilibria in Crypto Markets: why we should not be surprised by sudden stops and go
- Money demand, with I. Ekeland and JC Rochet
- ESG asset demand with information costs, with A. Tolomeo
- Machine Learning Techniques in joint default
assessment, with M. Doria and P. Semeraro, wp, http://arxiv.org/abs/2205.01524
- A portfolio for the long run, with B. Dumas
- Adversarial AI in insurance: an overview with M. Cattaneo, R. Kenett, submitted, now available as arXiv 2301.07520
- Risk Appetite Fluctuations in the Insurance Industry, with J.C. Rochet
- Complex financial institutions and systemic risk, with C. Wihlborg, presented at the ASSA Meeting, San Francisco, January 2016, submitted
Projects on hold
- Equilibrium bid-ask spreads and the effect of
competitive trading delays, with A. Tolomeo, Collegio
Carlo Alberto Notebook 467/2016
- Are Information and diversification substitutes or complements? with. A. Tolomeo, CCA Notebook 456/2016
- Information effects in longevity-linked versus purely financial portfolios, with. A. Tolomeo, presented at Scuola Normale Superiore di Pisa, January 2016, CeRP wp 2016
- Equilibrium bid-ask spread and infrequent trade with
outside options, with R. Giacomelli Collegio
Carlo Alberto Notebook 445/2016.
- Complex financial institutions and systemic risk, with C. Wihlborg, pre-print
- The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency, with C. Wihlborg, Revise and Resubmit Journal of Banking and Finance, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264713, presented at the CEPR Winter Conference 2014, the 2015 IFABS Conference, Oxford, the 2015 Greta Conference. A previous version was ICER 6/2013.
- Life Insurance Demand and Financial Inclusion: Evidence from Italian Households, with M. Rossi and D. Sansone, was CCA Notebook 398/2014, now Netspar Working Paper 11/2015-039, GFLEC e-Journal.
- Default risk in business groups, with G. Nicodano, 2012, Collegio Carlo Alberto Notebook 283/2012. A previous version has been circulated as “Ownership structure, leverage and credit risk”, Collegio Carlo Alberto Notebook 69/2008. Presented at the GRETA 2007 Conference, Venice, September 2007, at the IX Workshop in Quantitative Finance, Rome, 2008, at the Higher School of Economics XIV April Conference, Moscow, April 2013.
- Equilibrium price of immediacy and infrequent trade, with R. Giacomelli (an incomplete, solo version has been circulated as “Equilibrium bid-ask spreads in a continuous-time, infinite horizon economy”), Collegio Carlo Alberto Notebook 221/2011 (updated 2013).