Roberto Torresetti

2007–2010

A researcher in the Science corpus: 2 papers; trusts 5 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Whom Roberto Torresetti trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Filip Lindskog

Who trusts Roberto Torresetti overall

1. A. Lopatin

Papers from Roberto Torresetti's perspective

Ordered by how strongly the researchers Roberto Torresetti trusts endorse each paper. Same corpus, a different order for every researcher.

1. Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (ASTIN Bulletin: The Journal of the International Actuarial Association)
2. Pricing Credit from the Top Down with Affine Point Processes
3. An Extension of Panjer's Recursion (ASTIN Bulletin: The Journal of the International Actuarial Association)
4. Common Failings: How Corporate Defaults are Correlated
5. Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
6. CORRELATED DEFAULT WITH INCOMPLETE INFORMATION
7. Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach
8. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
9. Risk Management: Value at Risk and Beyond
10. Robust Estimation of Dispersion Matrices and Principal Components

Their papers

• Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models (2010) — 79 citations
• Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2007) — 120 citations