Umberto Cherubini

University of Bologna - Department of Economics

Professor

Strada Maggore, 45

Bologna, FI 40125

Italy

SCHOLARLY PAPERS

19

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7,276

SSRN CITATIONS
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SSRN RANKINGS

Top 10,015

in Total Papers Citations

88

CROSSREF CITATIONS

34

Scholarly Papers (19)

1.

Multivariate Option Pricing with Copulas

Number of pages: 23 Posted: 14 May 2001
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics
Downloads 1,535 (13,900)
Citation 19

Abstract:

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option pricing, basket options, copula functions, non-normal returns.

2.

Prudent Valuation Guidelines and Sound Practices

Number of pages: 148 Posted: 16 Jun 2016 Last Revised: 26 Aug 2018
Marco Bianchetti and Umberto Cherubini
Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Economics
Downloads 1,123 (22,560)

Abstract:

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AIFIRM, CRR, EBA, AVA, Additional Valuation Adjustments, prudent valuation, fair valuation, valuation uncertainty, valuation risk, ambiguity, liquidity, correlation, market price uncertainty, close out cost, model risks, unearned credit spread, investing and funding cost, concentrated position

3.

A Theory of Eurobonds

Number of pages: 22 Posted: 16 Sep 2011 Last Revised: 18 Nov 2012
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 871 (32,444)
Citation 6

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Eurobond, sovereign debt, credit risk, interest rate

4.

Pricing Vulnerable Options with Copulas

ICER Working Paper, 2001
Number of pages: 38 Posted: 21 Feb 2002
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics
Downloads 654 (47,795)
Citation 9

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Credit risk, vulnerable options, copula functions

5.

Pricing Swap Credit Risk with Copulas

Number of pages: 15 Posted: 07 May 2004
Umberto Cherubini
University of Bologna - Department of Economics
Downloads 614 (51,884)
Citation 5

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Copula functions, Swap counterpart risk, Derivative Pricing

6.

Accounting Fraud and the Pricing of Corporate Liabilities: Structural Models with Garbling

Number of pages: 26 Posted: 17 Feb 2005 Last Revised: 12 Mar 2008
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 479 (70,859)
Citation 6

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Accounting, Information, Asset pricing, Credit spreads

7.

Pricing and Hedging Vulnerable Credit Derivatives with Copulas

Number of pages: 25 Posted: 23 Jul 2003
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics
Downloads 444 (77,657)
Citation 1

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8.

Marking-to-Market Government Guarantees to Financial Systems: An Empirical Analysis of Europe

Number of pages: 35 Posted: 30 Nov 2010
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 320 (113,005)
Citation 8

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Banking, Public sector budget, financial crisis

9.

Generalized Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson

Number of pages: 37 Posted: 09 Mar 2020 Last Revised: 06 Apr 2020
Peter Carr and Umberto Cherubini
New York University (NYU) - Finance and Risk Engineering Department and University of Bologna - Department of Economics
Downloads 300 (121,506)

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Kelly Crierion, Growth Optimal Portfolio, Speculative Price Dynamics, Stochastic Clock Models

10.

Copula Based Martingale Processes and Financial Prices Dynamics

Number of pages: 17 Posted: 17 Jul 2008
Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli
University of Bologna - Department of Economics, Università Cattolica del Sacro Cuore di Milano and University of Bologna - Department of Statistics
Downloads 284 (128,267)
Citation 1

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Copula functions,Stochastic Processes, Option Pricing, Markov Processes

11.

Government Bonds Ammunitions for the ECB Quantitative Easing

Number of pages: 78 Posted: 06 Feb 2015
Umberto Cherubini and Roberto Violi
University of Bologna - Department of Economics and Bank of Italy
Downloads 240 (152,101)
Citation 3

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Quantitative Easing, Securitization, Gaussian Copula Function, Senior Debt

12.

Hunting the Living Dead: A 'Peso Problem' in Corporate Liabilities Data

Number of pages: 28 Posted: 15 Jun 2005
Matteo Manera and Umberto Cherubini
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and University of Bologna - Department of Economics
Downloads 131 (258,209)
Citation 73

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Credit risk, Corporate debt, Peso problem, Maximum likelihood, Transformed data

13.

The Econometrics of Redenomination Risk

Number of pages: 52 Posted: 26 Jun 2019 Last Revised: 07 Jul 2020
Umberto Cherubini
University of Bologna - Department of Economics
Downloads 97 (319,064)
Citation 2

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Credit Default Swaps, Copula functions, Redenomination Risk, MLE on transformed data

14.

Moving from IBORs to Alternative Risk Free Rates

Number of pages: 8 Posted: 29 Jan 2021
Veronica Falco, Marco Bianchetti and Umberto Cherubini
affiliation not provided to SSRN, Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Economics
Downloads 66 (399,651)

Abstract:

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IOSCO, FSB, ECB, EMMI, IBA, BMR, LIBOR, EURIBOR, EONIA, €STR, Benchmark Rate, Interest Rate, Risk-Free Rate, Overnight Rate, Discounting

15.

Sovereign Credit Spreads: A Bailout Model with PSI

Number of pages: 20 Posted: 19 Feb 2015
Angelo S. Baglioni and Umberto Cherubini
Catholic University of the Sacred Heart of Milan and University of Bologna - Department of Economics
Downloads 53 (444,327)

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sovereign debt crisis, bailout, private sector involvement, credit spreads, euro area

16.

Singularity Bias, Systemic Risk and Credit Indexes

Number of pages: 41 Posted: 27 Jun 2019 Last Revised: 01 Jul 2019
Umberto Cherubini, Fabio Gobbi and Sabrina Mulinacci
University of Bologna - Department of Economics, affiliation not provided to SSRN and University of Bologna - Department of Statistics
Downloads 42 (489,117)
Citation 2

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Systemic Risk, Credit Indexes, Marshall Olkin Models, Copula Functions

17.

Convolution Autoregressive Processes

Number of pages: 17 Posted: 09 Jun 2018
Umberto Cherubini, Fabio Gobbi and Sabrina Mulinacci
University of Bologna - Department of Economics, affiliation not provided to SSRN and University of Bologna - Department of Statistics
Downloads 22 (597,088)

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Copula Functions, Autoregressive Processes, Excess Volatility, Extrapolative Bias

18.

The Dependence Structure of Running Maxima and Minima: Results and Option Pricing Applications

Mathematical Finance, Vol. 20, Issue 1, pp. 35-58, January 2010
Number of pages: 24 Posted: 18 Jan 2010
Umberto Cherubini and Silvia Romagnoli
University of Bologna - Department of Economics and University of Bologna - Department of Statistics
Downloads 1 (757,379)
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19.

Value-at-Risk Trade-Off and Capital Allocation with Copulas

Posted: 08 Jun 2001
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Economics

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