Fabio Caccioli

Research Associate, Systemic Risk Centre, and Lecturer, Department of Computer Science, UCL

Publications

Discussion Papers
Nov 2015
DP 49
Fabio Caccioli, Imre Kondor and Gábor Papp
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar maps for the sensitivity of the portfolio weights to small changes...
Discussion Papers
Jul 2015
DP 42
Christoph Aymanns, Fabio Caccioli, J. Doyne Farmer and Vincent W.C. Tan
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for...