Università degli Studi di Macerata
Luca Riccetti is Researcher of Economics at the University of Macerata (Italy). Previously he was Researcher of Banking and Finance at the Sapienza University of Rome, where he taught "Financial Markets and Intermediaries" to undergraduate students, "Statistics for Finance" to the students of the "Banking and Finance" master, and "Applied Econometrics" to Ph.D. students. Before he was post-doc at the Marche Polytechnic University, working in the European Community project "Forecasting Financial Crises" (FOC-II). At Marche Polytechnic University he obtained a Ph.D. and a master in Economics. During the Ph.D. he was visiting students at the Moscow State University. He graduated in "Financial Markets and Intermediaries" at Bocconi University and worked two years in the financial sector (as consultant, and in asset management and risk management offices).
His main research interests include the analysis of macroeconomic relationships between the "real" economy and the financial system, monetary policy, and portfolio allocation (risk and asset management). He published some papers on important journals such as the "Journal of Banking & Finance", the "Journal of Economic Dynamics and Control", the "Journal of Economic Behavior & Organization", "Empirical Economics", "Economic Modelling", the "Journal of Evolutionary Economics", and the "International Review of Economics & Finance".
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.