Anna Grazia Quaranta

Anna Grazia Quaranta

Ricercatore / Metodi matematici dell'economia e delle scienze attuariali e finanziarie (SECS-S/06)
  • Tel. interno (+39) 0733 258 3227
  • E-mail annagrazia.quaranta@unimc.it
Dipartimento di Economia e Diritto
 

(1980-1985) High School: Liceo Scientifico Statale “G. Banzi-Bazzoli”, Lecce (Italy).

(1990) Degree in Financial and Banking Sciences – Statistics and Economics orientation - University of Siena, July 1990: 110/110 first-class honours degree. Experimental dissertation on Statistical Analysis of the Efficiency in the Credit Sector.

(1992) Qualification as High School Teacher in Applied Mathematics.

(1992) Title of High School Teacher of Applied Mathematics after the competition based on qualifications and examination announced in 1990 by the Italian Ministry of Education; definitively appointed as a teacher starting from 1st September 1992.

(2006) PhD: “Economic and Quantitative Methods for Markets Analysis” (3 years), University of Lecce, February 2006. Evaluation: Distinction. Doctorate Dissertation Title: “Robust Optimization of Conditional Value at Risk and Portfolio Selection (Ottimizzazione Robusta del Conditional Value at Risk e Selezione di Portafoglio)”.

(2005) Winner of a Post-Doctoral Scholarship (September 2005) for research activities on “Modelling Artificial Neural Networks for calculus and identification” (2 years) at the Department of Physics of the University of Camerino.

(2007) Professor of Economic Statistics - Master Course on Markets Analysis and Local Development (Analisi dei Mercati e Sviluppo Locale) – University of Lecce.

(2007) Winner of a Post-Doctoral Scholarship (September 2007) for research activities on “Mathematical Models for queueing processes” (2 years) at the Department of Physics of the University of Camerino.

(2009-present) Assistant Professor of Mathematical Methods for Economics, Department of Mathematics - Alma Mater Studiorum - University of Bologna (from 2009 to November 2015) and Department of Economics and Law – University of Macerata (from December 2015 to present).

(A.A. 2008-2009) Professor of Asset Management – Post Graduated Course in Mathematical Finance 2008 – Alma Mater Studiorum - University of Bologna.

(A.A. 2008-2009) Professor of Asset Management - Post Graduated Course ‘Previcomp’ Economics and Law of the Complementary Pension Scheme – Alma Mater Studiorum -University of Bologna.

(A.A. 2008-2009) Professor of Asset Management - Master Course in Economics and Law of the Complementary Pension Scheme – University of Tuscia (Degree Course in Economics) and MEFOP S.p.A.

(A.A. 2009-2010) Professor of Asset Management - Post Graduated Course in Mathematical Finance 2009 – Alma Mater Studiorum - University of Bologna.

(2009-2010) Professor of Asset Management - Post Graduated Course Previquant – MEFOP S.p.A.

(1/01/2013 - 18/03/2014) Supervisor of the Research Project “Building multivariate stochastic processes and measuring the impact of an equivalent change of probability measure on marginal and joint processes and on the underlying factors driving the dependence structure: theory and applications to finance” - Department of Mathematics – Alma Mater Studiorum – University of Bologna.

(2014) Qualification as Associate Professor of Economics of Financial Intermediaries after the competition based on qualifications announced in 2012 by the Italian Ministry of University and Scientific Research.

(2014) Invited Speaker – lesson on: “Managers’ Compensation, Capital Structure and REITs Performance” - Symposium on Return Predictability in Stock and Real Estate Markets – Scuola Normale Superiore di Pisa – Italy.

(2015-present) (Independent) Member of the Board of Directors of Banca della Provincia di Macerata S.p.A.

(2015-present) Member of the Credit Executive Committee of Banca della Provincia di Macerata S.p.A.

(2016-present) Academic Supervisor in relation to the doctotorial (PhD) research program on Credit Activity in the Marche Regione as a key vehicle for the development of the local productive acrivity system (“L’attività creditizia nella regione Marche quale veicolo chiave per lo sviluppo del sistema delle attività produttive locali”) – University of Macerata.

(2016-present) Professor of Analysis and Measures of Markets and Financial Intermediaries Efficiency (Analisi e misura dell’efficienza dei mercati e degli intermediari finanziari) - PhD in Quantitative Methods for Economic Policy - University of Macerata.

01/01/2017- present Visiting Researcher (0.5) - National Institute of Chemical Physics and Biophysics – Tallin - Estonia.

Member of the Professors’ Board of the PhD in Quantitative Methods for Economic Policy - University of Macerata – Cycle XXXIII – (starting from) Academic Year 2017/2018.

Member of AMASES – Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (since 2004); AIFIRM – Associazione Italiana Financial Industry Risk Managers (since 2017).

Invited Speaker - 8th International Conference on Finance, Accounting and Law - World Scientific and Engeneering Academy and Society (WSEAS) Conference - Bern – November, 17th – 19th 2017.

Referee for Journal of Banking and Finance (February 2008), OR Spectrum (March 2009), Mathematical Methods in Economic and Finance (April 2012), International Journal of Information Technology & Decision Making (November 2016), Rivista Bancaria – Minerva Bancaria (April 2017), Newsletter AIFIRM – Risk Management Magazine (April 2017).

Citations (31/05/2017): Google Scholar 159; Scopus 63; Web of Science 46.

H-index (31/05/2017): Google Scholar 5; Scopus 4; Web of Science 2.

  • 2016 Cerqueti, Roy; Quaranta, Anna Grazia; Ventura, Marco, Innovation, Imitation and Policy Inaction, in TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 111; New York, Elsevier Science Incorporated; pp. 22 - 30 (ISSN: 0040-1625)
  • 2016 Cedrola E.; Battaglia L.; Quaranta A.G., COUNTRY REPUTATION, BRAND REPUTATION AND COMPANY REPUTATION: THEIR IMPORTANCE IN BUSINESS-TO-BUSINESS INDUSTRIES, in Rediscovering the Essentiality of Marketing, 1; New York, Springer; pp. 475 - 490 (ISBN: 978-3-319-29876-4)
  • 2016 Cedrola E.; Battaglia L.; Quaranta A.G., International entrepreneurship and performance: what are the important factors in markets with high cultural distance?, in The Changing Global Economy and its Impact on International Entrepreneurship, 1; Cheltenham, Edward Elgar Publishing Limited; pp. 39 - 65 (ISBN: 978 1 78347 983 2)
  • 2016 Quaranta, A.G., La Produttività delle Banche. Questioni di metodo, misure ed applicazioni, ; Ariccia (Roma), Aracne Editrice int.le; pp. 1 - 428 (ISBN: 978-88-548-9027-5)
  • 2016 Quaranta, A.G., Raffoni A., Visani F., Business Performance Analytics in the Banking Industry: evidence from the field, pp. 1 - 24
  • 2016 Quaranta, A.G., Vignini S., Impatto della crisi economica sulla redditività ed il rischio finanziario delle imprese romagnole. Una stratificazione operata via cluster analysis, pp. 1 - 10
  • 2016 Quaranta, A.G., Vignini S., Profitability and Financial Risk of the Romagna Companies. A firm partition/stratification via cluster analysis, pp. 1 - 1
  • 2016 Quaranta, A.G., Segmentazione delle filiali di una banca in classi di produttività, pp. 1 - 10
  • 2015 A.G. Quaranta; M. Di Santo, Teoria dei Valori Estremi e Misurazione del VaR. Measuring VaR via Extreme Value Theory, in BANCHE E BANCHIERI, 2; Milano, Assbank; pp. 172 - 199 (ISSN: 0390-1378)
  • 2015 Cedrola, Elena; Battaglia, Loretta; Quaranta, Anna Grazia, The country of origin effect (COO) in the industrial sectors: the results of an empirical study, in Proceedings of the 14th International Congress Marketing Trends; Parigi, ESCP Europe; pp. 1 - 16 (ISBN: 9782953281125)
  • 2015 Cedrola, Elena; Battaglia, Loretta; Quaranta, Anna Grazia, Piccole e medie imprese industriali e mercati internazionali: il contributo di country, company e brand reputation, in Innovative Processes in SMEs – Re-positioning of SMEs in the Global Value Systemin PICCOLA IMPRESA; Urbino, Università degli Studi di Urbino - Piccola Impresa; pp. 1 - 23 (ISSN: 0394-7947)
  • 2013 R. Cesari; A.G. Quaranta, A Robust Risk-based Tactical Asset Allocation, in MATHEMATICAL METHODS IN ECONOMICS AND FINANCE, 1, 8; Venezia, Università Ca' Foscari di Venezia; pp. 1 - 20 (ISSN: 1971-6419)
  • 2012 M. Biasin; A.G. Quaranta, FONDI IMMOBILIARI E COMMISSIONI DI GESTIONE EX GAV O NAV. EFFETTI SULLA PERFORMANCE.ITALIAN REIT MANAGERS’ COMPENSATION STRUCTURE. THE EFFECTS ON INVESTMENT PERFORMANCE., in BANCA IMPRESA SOCIETÀ, 2/12; Bologna, Il Mulino; pp. 159 - 190 (ISSN: 1120-9453)
  • 2012 R. Barone; R. Cerqueti; A.G. Quaranta, Illegal finance and usurers behavior, in EUROPEAN JOURNAL OF LAW AND ECONOMICS, 34(2); Dordrecht, --Netherlands: Springer Netherlands -Dordrecht Netherlands:Kluwer Academic Publishers; pp. 265 - 277 (ISSN: 0929-1261)
  • 2012 Mauro Marconi; Anna Grazia Quaranta; Silvana Tartufoli, Lineamenti dell'evoluzione del settore manifatturiero. Le Marche quale laboratorio, in ARGOMENTI, 35; Milano, Franco Angeli Edizioni; pp. 5 - 30 (ISSN: 1125-9116)
  • 2012 R. Cerqueti; A.G. Quaranta, The perspective of a bank in granting credits: an optimization model, in OPTIMIZATION LETTERS, 6; Dordrecht, --Netherlands: Springer Netherlands -Dordrecht Netherlands:Kluwer Academic Publishers; pp. 867 - 882 (ISSN: 1862-4472)
  • 2012 E. Cedrola; L. Battaglia; A. Quaranta, Business models of Italian entreprises in markets with high cultural distance. A focus on the chinese market: crucial relations, marketing strategies and performances, in Proceedings of the 15° Mc-Gill International Enrepreneurship Conference; Pavia, Department of Management Studies, University of Pavia; pp. 1 - 29 (ISBN: 9788890786105)
  • 2012 E. Cedrola; L. Battaglia; A. Quaranta, I modelli di business delle imprese italiane che operano in mercati con alta distanza culturale. Un focus sul mercato cinese: relazioni, strategie di marketing e performances aziendali, in Marketing Internazionale ed Effetto Country of Origin. Proceedings del IX Convegno annuale della Società Italiana di Marketing; Roma, Società Italiana di Marketing; pp. 1 - 9 (ISBN: 9788890766206)
  • 2012 R. Cesari; A.G. Quaranta, A Robust Risk-based Tactical Asset Allocation, in MAF 2012 Proceedings; Venezia, MAF 2012;
  • 2012 M. Biasin; E. Giacomini; A.G. Quaranta, REIT MANAGERS’ COMPENSATION STRUCTURE. THE EFFECTS ON INVESTMENT PERFORMANCE.,
  • 2011 M. MARCONI; A.G. QUARANTA; S. TARTUFOLI, Evaluating the Risk of Insolvency, in OPEN JOURNAL OF ECONOMIC RESEARCH, 1(3); Cheyenne WY, Academy Publish; pp. 15 - 32 (ISSN: 2161-7120)
  • 2011 M. MARCONI; A.G. QUARANTA; S. TARTUFOLI, Individuazione del rischio di fallimento via panel analysis, in BANCHE E BANCHIERI, 5; Milano, AssBank; pp. 384 - 401 (ISSN: 0390-1378)
  • 2011 R. Cesari; A.G. Quaranta, Un Approccio Robusto risk-based alla Gestione di Portafoglio: una verifica empirica in tempi di crisi, in BANCARIA, 1; Roma, Associazione Bancaria Italiana; pp. 18 - 31 (ISSN: 0005-4623)
  • 2011 R. Cesari; A.G. Quaranta, Un approccio robusto risk-based alla gestione di portafoglio, pp. 1 - 12
  • 2010 M. BIASIN; QUARANTA A.G, Effects of Regulatory and Market Constraints on the Capital Structure and Share Value of REITs: Evidence from the Italian Market, in INTERNATIONAL REAL ESTATE REVIEW, 13 pp. 282 - 322 (ISSN: 2154-8919)
  • 2010 Biasin, Massimo; Giacomini, Emanuela; Quaranta, Anna Grazia, Public REITs’ governance and regulatory structure: effects on NAV discount: Evidence from Italian market, in JOURNAL OF EUROPEAN REAL ESTATE RESEARCH, 3; Bingley, EmeraldInsight; pp. 161 - 181 (ISSN: 1753-9269)
  • 2010 M. BIASIN; GIACOMINI E; QUARANTA A.G, Quotazione a sconto, governance e regolamentazione dei fondi immobiliari italiani. Italian real estate funds and regulatory structure: effects on Nav discount., in BANCARIA, 1 pp. 31 - 45 (ISSN: 0005-4623)
  • 2010 M. E. BONTEMPI; C. LUCARELLI; C. MAZZOLI; A. G. QUARANTA, Reaction of the Italian Stock Exchange to Exogenous and Endogenous Events, in JOURNAL OF EMERGING MARKETS, 15(1); New York City, St. John's University; pp. 23 - 37 (ISSN: 1083-9798)
  • 2010 Biasin, M.; Quaranta, A.G., Capital Structure, Managers' Compensation and REITs' Share Value, in Abstracts (CD-ROM); Macerata, AMASES;
  • 2010 R. CESARI; A.G. QUARANTA, Un Approccio Robusto Risk-based alla Gestione di Portafoglio, in Abstracts; Macerata, AMASES;
  • 2010 M. BIASIN; QUARANTA A.G, Managers' Compensation, Capital Structure and REITs' Performance. Do NAV-based REITs outperform GAV-based REITs?,
  • 2009 R. BARONE; A.G. QUARANTA, Modelli di Rating Interno e Propensione al Rischio del Management, in BANCHE E BANCHIERI, 6; Milano, Assbank; pp. 451 - 465 (ISSN: 0390-1378)
  • 2009 M.E. BONTEMPI; C. LUCARELLI; C. MAZZOLI; A.G. QUARANTA, Reaction of the Italian Stock Exchange to exogenous and endogenous shocks: the eco of the sub-prime crisis and the introduction of "Book Profondo", in Abstracts and Extended Papers; CHICAGO, MFA; pp. 200 - 221
  • 2009 R. CESARI; A.G. QUARANTA, Un Approccio Robusto risk-based alla Gestione di Portafoglio, in Abstacts; ROMA, ABI; pp. 54 - 65
  • 2009 M. BIASIN; GIACOMINI E; QUARANTA A.G, Italian Public REITs' Governance Structure: Effects on NAV Discount,
  • 2008 A.G. QUARANTA, Attribuzione dello Scoring Aziendale nel contesto Basilea 2, in BANCHE E BANCHIERI, 2; Milano, Assbank; pp. 125 - 137 (ISSN: 0390-1378)
  • 2008 R. BARONE; A.G. QUARANTA, Banking Competition, Switching Cost and Customer Vulnerability: tha case of South Italy, in THE ICFAI JOURNAL OF BEHAVIORAL FINANCE, 1; Andhra Pradesh, The ICFAI University Press; pp. 6 - 27 (ISSN: 0972-9089)
  • 2008 A.G. Quaranta; A. Zaffaroni, Robust Optimization of Conditional Value at Risk and Portfolio Selection, in JOURNAL OF BANKING & FINANCE, 10, 32; Amsterdam, Elsevier; pp. 2045 - 2056 (ISSN: 0378-4266)
  • 2008 R. BARONE; A.G. QUARANTA, Basilea 2: Rating Interno, Probabilità di Default e Componente Qualitativa del Rischio, in Banche Italiane e Governo dei Rischi: Imprese, Famiglie, Regole; ROMA, Edibank; pp. 449 - 472 (ISBN: 978-88-449-0466-1)
  • 2008 R. CESARI; A.G. QUARANTA, Robust CVaR Portfolio Management, in Abstracts (CD-ROM); TRENTO, AMASES - Università di Trento;
  • 2008 R. CESARI; A.G. QUARANTA, Robust Portfolio Management, in Abstract Book (CD-ROM); LECCE, MTISD - Università del Salento;
  • 2008 M. BIASIN; QUARANTA A.G, Effects of Regulatory and Market Constraints on the Capital Structure and Share Value of REITs,
  • 2007 R. BARONE; A.G. QUARANTA, Concorrenza Bancaria, Switching Cost e Vulnerabilità del Cliente, in Banche Italiane: un'industria al bivio - Mercati, Consumatori e Governance; ROMA, Edibank; pp. 201 - 220 (ISBN: 978-88-449-0452-4)
  • 2007 Barone, R.; Cerqueti, R.; Quaranta, A.G., A Stochastic Model for Financiers, in Abstracts (CD-ROM); LECCE, AMASES - Università di Lecce;
  • 2007 R. BARONE; A.G. QUARANTA, Banking Competition, Switching Cost and Customer Vulnerability, in Abstracts and Extended Papers; SIENA, LABSI- Università di Siena;
  • 2007 S. FEDELI; A.G. QUARANTA; E. VOLTATTORNI, Basel 2: Firm's Scoring via Cluster Analysis and Artificial Neural Networks, in Book of Short Papers; MACERATA, EUM; pp. 673 - 676 (ISBN: 978-88-6056-020-9)
  • 2007 R. CESARI; A.G. QUARANTA, Robust Optimization of CVaR and VaR: a comparison, in Abstracts; LECCE, AMASES - Università di Lecce;
  • 2007 BARONE R; R. CERQUETI; QUARANTA A.G, A stochastic model for financiers, in Working Papers - Macerata University, Department of Finance and Economic Sciences, 42 pp. 1 - 16
  • 2007 A.G. Quaranta, Ottimizzazione Robusta e Selezione di Portafoglio, pp. 1 - 26
  • 2006 R. De Leone; E. Marchitto; A.G. Quaranta, Autoregression and artificial Neural Networks for Financial Market Forecast, in NEURAL NETWORK WORLD, 2, 16; Praga, Institute of Computer Science CAS and Czech Technical University; pp. 109 - 128 (ISSN: 1210-0552)
  • 2006 A.G. QUARANTA; A. ZAFFARONI, Robust Optimization of a bi-criteria Model of Stochastic Programming, in Atti del 30° Convegno (CD-ROM); TRIESTE, Università di Trieste; (ISBN: 88-902585-0-0)
  • 2006 A.G. QUARANTA, Robust Optimization of a Coherent Risk Measure, in Abstracts; ROMA, Università di Roma "La Sapienza";
  • 2006 A. G. Quaranta, Robust Optimization of Conditional Value at Risk and Portfolio Selection, in III International Summer School on Risk Measurement and Control; ROMA, s.n.;
  • 2006 A.G. Quaranta; A. Zaffaroni, Robust Optimization of Conditional Value at Risk and Portfolio Selection, pp. 1 - 21
  • 2002 QUARANTA A; RASCIONI S, Valori mobiliari e borsa valori: aspetti teorici ed applicativi, in INNOVAZIONE SCUOLA, 1; Ancona, IRRE Marche; pp. 40 - 42 (ISSN: 1126-9944)
  • 1995 Pannuzi N.; Quaranta A.G., Measuring Poverty : a Study Case in an Italian Industrial City, in Income Distribution, Social Welfare, Inequality and Poverty’, 6 di ‘Research on Economic Inequality; Greenwich, Connecticut, Slottje D.J. (Ed), JAI Press Inc.; pp. 323 - 335 (ISBN: 1559388641)
  • 1991 A. LEMMI; A.G. QUARANTA; A. VIVIANI, La misura della produttività: questioni di metodo ed evidenze empiriche, ; SIENA, NIE; pp. 1 - 201 (ISBN: 8871450329)
  • 1991 N. PANNUZI; QUARANTA A.G., Measuring Poverty : a Case Study in an Italian Industrial City, in Proceedings; Siena, Università degli Studi di Siena;
  • MAT/09 - Ricerca operativa
  • SECS-P/05 - Econometria
  • SECS-P/06 - Economia applicata
  • SECS-P/07 - Economia aziendale
  • SECS-P/08 - Economia e gestione delle imprese
  • SECS-P/09 - Finanza aziendale
  • SECS-P/11 - Economia degli intermediari finanziari
  • SECS-S/02 - Statistica per la ricerca sperimentale e tecnologica
  • SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Breve descrizione Settore ERC Parole chiave
SH1_5: Financial markets, asset prices, international finance
PE1_17: Numerical analysis
PE1_19: Control theory and optimization
SH1_6: Banking, corporate finance, accounting
SH1_4: Econometrics, statistical methods
Lingua Conoscenza
Inglese Buono
Aree: Europa
Paesi: Germania
  • MIUR
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