Università degli Studi Roma Tre
Francesco Cesarone was born in Rome, Italy, in 1975. He is an Assistant Professor of Computational Finance at the University of Roma Tre - Department of Business Studies. He graduated in physics from Sapienza University of Rome, and worked as a researcher in the field of climatology at CNR (National Research Council). He holds a PhD in Mathematics for Economic and Financial Applications from Sapienza University of Rome. He worked as consultant for ARPM (Advanced Risk and Portfolio Management, New York, US).
His research interests currently include portfolio selection problems, risk management, risk modelling and optimum risk decisions, enhanced indexation problems, algorithms for large scale linear, quadratic integer and mixed integer programming problems, Heuristic optimization. He acts as a referee for several scientific journals.
He is married and has two sons.
The aim of this paper is to provide a new operational risk management framework to identify and mitigate the operational risk exposure arising from a new product.
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.