Gabriele Torri

University of Bergamo

PhD Candidate

Salvecchio 19

Bergamo, 24129

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

507

SSRN CITATIONS

8

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Sparse Precision Matrices for Minimum Variance Portfolios

Number of pages: 36 Posted: 10 May 2017 Last Revised: 15 Jun 2018
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 194 (187,928)
Citation 3

Abstract:

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minimum variance, precision matrix, graphical lasso, tlasso

2.
Downloads 106 (302,753)

On the Origin of Systemic Risk

Number of pages: 42 Posted: 13 Nov 2020
Mattia Montagna, Gabriele Torri and Giovanni Covi
European Central Bank (ECB), University of Bergamo and Bank of England
Downloads 39 (516,427)

Abstract:

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Systemic risk, financial contagion, microstructural models

On the Origin of Systemic Risk

ECB Working Paper No. 20202502
Number of pages: 52 Posted: 15 Dec 2020
Mattia Montagna, Gabriele Torri and Giovanni Covi
European Central Bank (ECB), University of Bergamo and European Central Bank (ECB)
Downloads 34 (542,625)

Abstract:

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On the Origin of Systemic Risk

Bank of England Working Paper No. 906
Number of pages: 49 Posted: 03 Feb 2021
Mattia Montagna, Gabriele Torri and Giovanni Covi
European Central Bank (ECB), University of Bergamo and Bank of England
Downloads 33 (548,172)

Abstract:

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Systemic risk, financial contagion, microstructural models

3.

Tail Risks in Large Portfolio Selection: Penalized Quantile and Expectile Minimum Deviation Models

Number of pages: 39 Posted: 26 May 2020 Last Revised: 04 Sep 2020
Rosella Giacometti, Gabriele Torri and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 87 (346,193)
Citation 1

Abstract:

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization

4.

Robust and Sparse Banking Network Estimation

Number of pages: 35 Posted: 24 Aug 2017
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 84 (351,062)
Citation 7

Abstract:

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Finance, Financial Networks, Tlasso, Graphical Models, Strength Centrality

5.

Network Tail Risk Estimation in the European Banking System

Number of pages: 28 Posted: 08 Jan 2021
Gabriele Torri, Rosella Giacometti and Tomas Tichy
University of Bergamo, University of Bergamo and VSB - Technical University of Ostrava
Downloads 36 (519,599)

Abstract:

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Financial Networks, Systemic Risk, Graphical Models, CoVaR, Tail Risk