Foto del docente

Silvia Romagnoli

Associate Professor

Department of Statistical Sciences "Paolo Fortunati"

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences

Director of Second Cycle Degree of Quantitative Finance


Romagnoli Silvia, A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models, «INFORMATION SCIENCES», 2020, 512, pp. 1202 - 1213 [Scientific article]

Barbi, M.; Geman, H.; Romagnoli, S.;, Diamonds and Precious Metals for Reduction of Portfolio Tail Risk, «APPLIED ECONOMICS», 2020, 52, pp. 2841 - 2861 [Scientific article]

Silvia Romagnoli; Enrico Bernardi; Matteo Doti, The impact of the dependence structure in risk management: a focus on credit-risk, «INTERNATIONAL JOURNAL OF GENERAL SYSTEMS», 2019, 48, pp. 335 - 361 [Scientific article]

Romagnoli, Silvia, Measure-invariance of copula functions as tool for testing no-arbitrage assumption, «JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS», 2018, 338, pp. 80 - 90 [Scientific article]

Massimiliano Barbi; Silvia Romagnoli, Skewness, Basis Risk, and Optimal Futures Demand, «INTERNATIONAL REVIEW OF ECONOMICS & FINANCE», 2018, 58, pp. 14 - 29 [Scientific article]

Romagnoli, Silvia; Santoro, Simona, Interest Rates Term Structure under Ambiguity, «RISKS», 2017, 5, pp. 1 - 29 [Scientific article]

Bernardi, Enrico; Romagnoli, Silvia, Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application, «INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING», 2016, 15, pp. 285 - 310 [Scientific article]

Barbi, Massimiliano; Romagnoli, Silvia, Optimal hedge ratio under a subjective re-weighting of the original measure, «APPLIED ECONOMICS», 2016, 48, pp. 1271 - 1280 [Scientific article]

Enrico Bernardi; Silvia Romagnoli, A copula-based hierarchical hybrid loss distribution, «STATISTICS & RISK MODELING», 2015, 32, pp. 73 - 87 [Scientific article]

Bajo E.; Barbi M.; Romagnoli S., A generalized approach to optimal hedging with option contracts, «EUROPEAN JOURNAL OF FINANCE», 2015, 21, pp. 714 - 733 [Scientific article]

Enrico Bernardi; Federico Falangi; Silvia Romagnoli, A hierarchical copula-based world-wide valuation of sovereign risk, «INSURANCE MATHEMATICS & ECONOMICS», 2015, 61, pp. 155 - 169 [Scientific article]

Barbi M; Romagnoli S, A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio, «THE JOURNAL OF FUTURES MARKETS», 2014, 34, pp. 658 - 675 [Scientific article]

M. Barbi; E. Bajo; S. Romagnoli, Optimal Corporate Hedging Using Options with Basis and Production Risk, «THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE», 2014, 30, pp. 56 - 71 [Scientific article]

Romagnoli S.; Bernardi E., A clusterized copula-based probability distribution of a counting variable for high-dimensional problems, «THE JOURNAL OF CREDIT RISK», 2013, 9, pp. 3 - 26 [Scientific article]

Massimiliano, Marzo; Silvia, Romagnoli; Paolo, Zagaglia, A Continuous Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions, «COMMUNICATIONS IN MATHEMATICAL FINANCE», 2013, 2, pp. 1 - 28 [Scientific article]