PUBLICATIONS   2009

Giampaolo Gabbi

 

 

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2009

 

 

 Time Diversification and Financial Forecasts for Bond and Equity Markets (download)

  Emission Trading Scheme and the Price of Energy, with G. Zanotti (download)

 The Liquidity Risk Factors for Bonds, con B. Salis (download)

 

A Reverse Engineering Approach to Price Credit Spreads in the Qualitative Rating Process, with M. De Lerma and M. Matthias (download)

 

Operational Risk Vs. Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? A Clinical Study, con S. Cosma e G. Salvatori, in Operational Risk toward Basel III, Wiley & Sons, New York (see)

 

Rischi operativi e piccole banche: the black swan, con S. Cosma e G. Salvadori, Bancaria, n. 3 (see)

 

Il valore della reputazione bancaria nel pensiero di Tancredi Bianchi, con M. Matthias, Banche e Banchieri, n. 4, forthcoming

 

How risk destroyed banks’ reputation, IAMSDA special issue on “The Brave New World”, n. 3 (download)

 

The model risk in credit management processes, con G. De Laurentis, in Gregoriou – Hoppe - Wehn (eds.) Model Risk Evaluation Handbook, McGraw Hill, New York, forthcoming

 

The Black and Litterman optimization framework with higher moments: the case of hedge funds, con R. Renò e A. Limone, in Stock Market Volatility, Chapman & Hall/CRC, Boca Raton, USA (see) (read)

 

The Evolution of Compliance Function and Compliance Risk in Investment Services, edited by P. Musile Tanzi, SDA Bocconi Research, with AICOM and SIA-SSB (download)

 

La term structure, in G. Gandolfi (ed), Scelta e gestione degli investimenti finanziari, Bancaria editrice, Roma (see)

 

Alternative Investments Encyclopaedia, voci curate:

1)      swap

2)      forward contracts

3)      self-regulatory organization

4)      asset allocation

5)      semi-deviation

Chapman & Hall/CRC, Boca Raton, USA (see) (read)

 

Reputation, Corporate Governance and Ethical Choices, in S. Capece (ed), Ethical Choiches in economics, society and the environment, Luiss University Press, Rome (see)

 

Il rischio reputazionale nei contributi di Tancredi Bianchi: appunti per una teoria, (con M. Matthias) in Scritti in onore di Tancredi Bianchi, Bancaria, Roma, in corso di pubblicazione