Patrizia Semeraro

We provide sharp analytical upper and lower bounds for value-at-risk (VaR) and sharp bounds for e...xpected shortfall (ES) of portfolios of any dimension subject to default risk.

We propose a simple but new method of characterizing multivariate Bernoulli variables belonging to a given class, i.e., with some specified moments. Within a given class, this characterization allows us to generate easily a sample of mass functions. It also provides the bounds that all the moments must satisfy to be compatible and the possibility to choose the best distribution according to a certain criterion. For the special case of the Fréchet class of the multivariate Bernoulli distributions with given margins, we find a polynomial characterization of the class.

We introduce a class of multivariate factor-based processes with the dependence structure of Lévy ραρα-models and Sato marginal distributions. We focus on variance gamma and normal inverse Gaussian marginal specifications for their analytical tractability and fit properties. We explore if Sato models, whose margins incorporate more realistic moments term structures, preserve the correlation flexibility in fitting option data. Since ραρα-models incorporate nonlinear dependence, we also investigate the impact of Sato margins on nonlinear dependence and its evolution over time.

In this paper, we study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives. Both model specifications, calibrated to a data set of multivariate barrier reverse convertibles listed at the Swiss market, demonstrate good ability in capturing smile patterns and recovering empirical correlations. We show how the range of correlations spanned by each model is linked to the process marginal distributions.

This paper applies probabilistic graphical models in a new framework to study association rules driven by consumer choices in a network of Italian museums. The network consists of the museums participating in the programme of Abbonamento Musei Torino Piemonte, which is a yearly subscription managed by Associazione Torino Città Capitale Europea. It is available to people living in the Piemonte region, Italy. Consumers are card-holders, who are allowed entry to all the museums in the network for one year.

In this note, we use multivariate subordination to introduce a multivariate extension of the generalized asymmetric Laplace motion. The class introduced provides a unified framework for several multivariate extensions of the popular variance gamma process. We also show that the associated time one distribution extends the multivariate generalized asymmetric Laplace distributions proposed in the statistical literature.

The class of marked Poisson processes and its connection with subordinated Lévy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a unified framework for multivariate asset return models in a Lévy economy. In fact, we are able to recover several processes commonly used to model asset returns as subcases. We consider a first application example using the normal inverse Gaussian specification.