Concepedia
Statistics
Publications
8
Citations
252
H-Index
Active since
2006
Affiliations
Intesa Sanpaolo (Italy)(Current)
Imperial College London
University of Milan
Roberto Torresetti is an author at Intesa Sanpaolo (Italy) specializing in business, financial economics, and finance.
Publications per year
2006–2010
Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti · SSRN Electronic Journal · 2007 · 111 citations · Full text
Business, Economics, Risk Management +15
Implied Expected Tranched Loss Surface from CDO Data
Roberto Torresetti, Damiano Brigo, Andrea Pallavicini · SSRN Electronic Journal · 2007 · 33 citations · Full text
Business, Economics, Finance +14
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti · International Journal of Theoretical and Applied Finance · 2007 · 29 citations
Business, Mathematics, Dynamical Systems +10
Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti · RePEc: Research Papers in Economics · 2010 · 22 citations
Business, Economics, Finance +17
Risk Neutral Versus Objective Loss Distribution and CDO Tranches Valuation
Roberto Torresetti, Damiano Brigo, Andrea Pallavicini · SSRN Electronic Journal · 2007 · 18 citations · Full text
Business, Finance, Risk Management +17
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