Marco Di Francesco

Tesi di Laurea Magistrale

• A Methodological Approach for the Estimation of Probability of Default
• A Theoretical and Empirical Path through the Literature of Portfolio Optimization: from the Efficient Frontier to the Entropy Pooling
• Applied Credit Risk Modeling :From Bootstraped Survival Probabilities to CDS Option Pricing
• Collateralized Debt Obligations: Product and Pricing
• Credit risk calculation with machine learning algorithms
• Forecasting CDS Spread Term Structure: A Nelson-Siegel Approach
• integrating intensity-based models in credit derivatives valuation: a holistic examination of pricing strategies
• Modelling Credit Derivatives with Copulas: an Application on Basket Default Swap
• Pricing model for Sustainability-Linked Bonds