PUBLICATIONS
“The joy of discovery is certainly the liveliest that the mind of man can ever feel”
Claude Bernard
Journal Publications
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Bellini T. (2016). The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis. Advances in Data Analysis and Classification, 10 (3), 351-373.
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Bellini T. (2013). Integrated Bank Risk Modeling: A Bottom-up Statistical Framework. Journal. European Journal of Operational Research, 230 (2), 385–398.
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Bellini T. (2013). Robust Credit Stress Testing Through a Cointegrated Framework. Selected Issues in Statistical Methods and Applications in an Historical Perspective, Studies in Theoretical and Applied Statistics. Springer-Verlag Berlin Heidelberg.
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Bellini T., Riani M. (2012). Robust Analysis of Default Intensity. Computational Statistics and Data Analysis, 56 (11), 3276-3285 (1st issue of the Annals of Computational and Financial Econometrics, Sixth Special Issue on Computational Econometrics).
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Bellini T. (2012). Forward Search Outlier Detection in Data Envelopment Analysis. European Journal of Operational Research, 216 (1), 200–207.
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Bellini T. (2010). Detecting Atypical Observations in Financial Data: The Forward Search for Elliptical Copulas. Advances in Data Analysis and Classification, 4 (4), 287–299.
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Grossi L., Bellini T. (2006). Credit Risk Management through Robust Generalized Linear Models. Data Analysis, Classification and the Forward Search, pp. 377-386. Springer-Verlag, Heidelberg.
Book Chapters
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Bellini T. (2019). Introduction to Expected Credit Loss Modelling and Validation. https://doi.org/10.1016/B978-0-12-814940-9.00009-8.
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Bellini T. (2019). One-Year PD. https://doi.org/10.1016/B978-0-12-814940-9.00010-4.
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Bellini T. (2019). Lifetime PD. https://doi.org/10.1016/B978-0-12-814940-9.00011-6.
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Bellini T. (2019). LGD Modelling. https://doi.org/10.1016/B978-0-12-814940-9.00012-8.
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Bellini T. (2019). Prepayments, Competing Risks and EAD Modelling. https://doi.org/10.1016/B978-0-12-814940-9.00013-X.
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Bellini T. (2019). Scenario Analysis and Expected Credit Losses. https://doi.org/10.1016/B978-0-12-814940-9.00014-1.
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Bellini T. (2017). Introduction to Stress Testing and Risk Integration. https://doi.org/10.1016/B978-0-12-803590-0.00001-1.
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Bellini T. (2017). Macroeconomic Scenario Analysis from a Bank Perspective. https://doi.org/10.1016/B978-0-12-803590-0.00002-3.
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Bellini T. (2017). Asset and Liability Management, and Value at Risk. https://doi.org/10.1016/B978-0-12-803590-0.00003-5.
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Bellini T. (2017). Portfolio Credit Risk Modelling. https://doi.org/10.1016/B978-0-12-803590-0.00004-7
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Bellini T. (2017). Balance Sheet, and Profit and Loss Stress Testing. https://doi.org/10.1016/B978-0-12-803590-0.00005-9.
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Bellini T. (2017). Regulatory Capital, RWA, Leverage, and Liquidity Requirements Under Stress. https://doi.org/10.1016/B978-0-12-803590-0.00006-0.
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Bellini T. (2017). Risk Integration. https://doi.org/10.1016/B978-0-12-803590-0.00007-2.
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Bellini T. (2017). Reverse Stress Testing. https://doi.org/10.1016/B978-0-12-803590-0.00008-4
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Bellini T., Bocchi, L. (2013). Portfolio Credit Risk Modelling. Retail Credit Risk Management. Palgrave Macmillan UK, Studies in Banking and Financial Institutions. https://link.springer.com/chapter/10.1057/9781137006769_8
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Bellini T., Bocchi, L. (2013). Stress Testing, Capital Planning and Risk Integration. Retail Credit Risk Management. Palgrave Macmillan, Studies in Banking and Financial Institutions. https://link.springer.com/chapter/10.1057/9781137006769_9
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Bellini T., Riani M. (2010). Un modello statistico per l’analisi della dipendenza temporal dei tassi bancari dai tassi Interbancari. Excel per la finanza e il management, 273-303. Alpha Test, Milano.