Giacomo Scandroglio

Giacomo Scandroglio

Milano, Lombardia, Italia
859 follower Oltre 500 collegamenti

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Attività

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Esperienza

  • Grafico Eni

    Eni

    Rome, Latium, Italy

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    Milano

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    San Donato Milanese (Milan, Italy)

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    Cusano Milanino (MI)

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    London, United Kingdom

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    London, United Kingdom

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    Moscow, Russian Federation

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    Milan, Italy

Formazione

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Esperienze di volontariato

  • Vice-president and member of the Board of Directors

    IAASM (International Alumni Association Scuola Mattei)

    - Presente 9 anni e 2 mesi

    Formazione

    The International Alumni Association Scuola Mattei (IAASM), founded in 2007, is a cultural, non-profit organization. Its aims to be instrument of networking, comparison, discussion and growth for the all former students of Scuola Mattei (the first post-graduate technical Master in Italy). Nowadays, the number of Alumni has exceeded 2800, with representatives from 110 different countries.

  • Grafico FAI - Fondo Ambiente Italiano

    Member

    FAI - Fondo Ambiente Italiano

    - Presente 9 anni e 10 mesi

    Arte e cultura

  • Grafico Touring Club Italiano

    Member

    Touring Club Italiano

    - Presente 6 anni e 7 mesi

    Arte e cultura

Pubblicazioni

  • Estimating VaR and ES of the Spot Price of Oil using futures-varying Centiles

    ’; International Journal of Financial Engineering and Risk Management.

    This paper illustrates the power of modern statistical modelling in estimating measures of market risk, here applied to the Brent and WTI spot price of oil. Both Value-at-Risk (VaR) and Expected Shortfall (ES) are cast in terms of conditional centiles based upon semiparametric regression models. Using the GAMLSS statistical framework, we stress the important aspects of selecting a highly flexible parametric distribution (skewed Student’s t distribution) and of modelling both skewness and…

    This paper illustrates the power of modern statistical modelling in estimating measures of market risk, here applied to the Brent and WTI spot price of oil. Both Value-at-Risk (VaR) and Expected Shortfall (ES) are cast in terms of conditional centiles based upon semiparametric regression models. Using the GAMLSS statistical framework, we stress the important aspects of selecting a highly flexible parametric distribution (skewed Student’s t distribution) and of modelling both skewness and kurtosis as nonparametric functions of the price of oil futures. Furthermore, an empirical application characterises the relationship between spot oil prices and oil futures - exploiting the futures market to explain the dynamics of the physical market. Our results suggest that NYMEX WTI has heavier tails compared with the ICE Brent. Contrary to the common platitude of the industry, we argue that ’somebody knows something’ in the oil business.

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Lingue

  • Italian

    Conoscenza madrelingua o bilingue

  • English

    Conoscenza professionale completa

  • French

    Conoscenza professionale

  • Russian

    Conoscenza base

Organizzazioni

  • FAI (Fondo Ambiente Italiano)

    Member

    - Presente

  • IAASM - International Alumni Association Scuola Enrico Mattei

    2013-14 Master MEDEA Focal Point

    - Presente

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