Paola Mosconi
Quantitative Analyst

Linkedinpaola.mosconi@bancaimi.com
She was Consultant at Iason Ltd.
Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

2012-01:
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Analytical credit VaR with stochastic probabilities of defaults and recoveries
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
Abstract

2009-06:
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Basel II second pillar: an analytical VaR with contagion and sectorial risks
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
Abstract

2009-01:
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