Argo Magazine

Argo Magazine N.18 2020

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Argo Magazine N.17 2019

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Argo Magazine N.16 2019

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Argo Magazine N.15 2019

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Argo Magazine N.14 Fall 2018

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Argo Magazine N.13 Summer 2018

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Argo Magazine N.12 Winter 2018

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Argo Magazine N.11 Winter 2016

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Argo Magazine N.10 Spring 2016

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Argo Magazine N.09 Winter 2016

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Argo Magazine N.08 Fall 2015

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Argo Magazine N.07 Summer 2015

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Argo Magazine N.06 Spring 2015 (italian version)

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Argo Magazine N.05 Winter 2015

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Argo Magazine N.04 Fall 2014 (italian version)

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Argo Magazine N.04 Fall 2014

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Argo Magazine N.03 Summer 2014 (italian version)

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Argo Magazine N.03 Summer 2014

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Argo Magazine N.02 Spring 2014 (italian version)

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Argo Magazine N.02 Spring 2014

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Argo Magazine N.01 Winter 2014 (italian version)

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Argo Magazine N.01 Winter 2014

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Articles

2020

The LIBOR Reform and the New Reference Rates Revolution: Origin and Guidelines (printable)

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The LIBOR Reform and the New Reference Rates Revolution: Origin and Guidelines

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Structural FX Provision: EBA CP on the treatment of structural FX under 352(2) CRR

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Smart Working e Sistemi a Supporto

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SA-CCR: Overview on Methodology and Challenges of the Revised Framework

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Rischio Tasso del Banking Book: Overview ed Evoluzione Normativa

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Remote Working: Advices to Reduce Risks and Boost Productivity (printable)

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Remote Working: Advices to Reduce Risks and Boost Productivity

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New Challenge on SA-CCR: an Overview on Implementation Process (printable)

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New Challenge on SA-CCR: an Overview on Implementation Process

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NPL Classification A Random Forest Approach (Rev) (Printable)

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NPL Classification A Random Forest Approach (Rev)

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Model Risk Management: Guidelines to an Effective Implementation

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La Riforma del LIBOR e la Rivoluzione dei Nuovi Tassi di Riferimento: Origine e Linee Guida (printable)

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La Riforma del LIBOR e la Rivoluzione dei Nuovi Tassi di Riferimento: Origine e Linee Guida

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Guidelines on ICT and Security Risk Management

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Guidelines on CRM for Banks Applying the A-IRB

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Guide on Climate-Related and Environmental Risks

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FinTechs and Challenger Banks: Old Business, Brand New Approach (Printable)

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FinTechs and Challenger Banks: Old Business, Brand New Approach

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EU Implementation of FRTB: Regulatory Technical Standard on the Internal Model Approach

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EU-wide EBA Stress Test: A Methodological Analysis on the Credit Risk Perspective (Printable)

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EU-wide EBA Stress Test: A Methodological Analysis on the Credit Risk Perspective

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EBA Guidelines on Loan Origination and Monitoring

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Covid-19 Some Thoughts on Public-Guarantee Loans and Banks in Italy

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Covid-19 Regulatory and Supervisory Response to Facilitate Lending

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Covid-19 Measures to Mitigate Credit Risk EBA and BIS Initiatives

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Covid-19 Impatti Economici: Analisi a Confronto

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Covid-19 Impact Analysis on Italy's Sovereign Risk

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Covid-19 Analisi di Impatto sulle Probabilità di Fallimento delle Società Non Finanziarie in Italia

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Covid-19 Analisi di Impatto sul Rischio Paese Italia

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Calendar Provisioning: An Overview

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2019

Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital (Printable)

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Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital

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Security Market- an Overview of Repo and Security Lending Transactions (Printable)

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Security Market- an Overview of Repo and Security Lending Transactions

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Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev) (Printable)

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Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev)

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NPL Classification A Random Forest Approach (Printable)

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NPL Classification A Random Forest Approach

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Modeling of Libor-Ois Basis (Rev) (Printable)

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Modeling of Libor-Ois Basis (Rev)

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Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies (Printable)

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Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies

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Market Instruments for Collateral Management (Rev) (Printable)

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Market Instruments for Collateral Management (Rev)

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EBA Draft Guidlines on Loan Originitation and Monitoring

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EBA 2020 EU-wide Stress Test - Market Risk

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Collateral Management: Processes, Tools and Metrics (Rev) (Printable)

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Collateral Management: Processes, Tools and Metrics (Rev)

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BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights (Printable)

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BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights

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Are EBA Stress-Test Exercises Driving Banks into Different Business Models (Printable)

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Are EBA Stress-Test Exercises Driving Banks into Different Business Models

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Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA) (Printable)

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Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)

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A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application (Printable)

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A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application

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2019 FRTB Review - Main Interventions (Printable)

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2019 FRTB Review - Main Interventions

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2018

The Effect of the FRTB in the CVA Risk Framework

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The Effect of the FRTB in the CVA Risk Framework (Printable)

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Synergies and challenges in the implementation of Basel IV regulations

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Synergies and challenges in the implementation of Basel IV regulations (Printable)

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SA-CCR Implications and Challenges of the New Regulation

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SA-CCR Implications and Challenges of the New Regulation (Printable)

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Modelling Banking Commissions

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Modelling Banking Commissions (Printable)

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Interest Rate Benchmarks Reform - Time to Transition is Now (Printable)

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Interest Rate Benchmarks Reform - Time to Transition is Now

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Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS

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Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS (Printable)

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An overview of BREXIT effects on the Banking System

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An overview of BREXIT effects on the Banking System (Printable)

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2017

FRTB Effects in CVA Framework (printable)

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FRTB Effects in CVA Framework

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Benchmark Framework for NMDM (Printable)

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Benchmark Framework for NMDM

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2016

Risk and Profitability of Sight Deposits in the Italian Banking Industry

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Incremental Valuation of Derivatives Contracts

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2015

Modelling of Libor-Ois Basis

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Market Instruments for Collateral Management

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2014

Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital

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Collateral Management: Processes, Tools and Metrics

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2013

Un early warning indicator per la misura del rischio di controparti istituzionali implicita nei dati di mercato

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The main risks of an FX options portfolio

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The implied volatility surfaces

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Some practical issues in FX and equity derivatives

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Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach

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Sight deposit and non-maturing liability modelling

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Pricing swap including funding costs

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Pricing of derivatives contracts under collater: agreements liquidity and funding value adjustments

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Pricing of collateralized derivatives contracts when more than one currency are involved: liquidity and funding value adjustments

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On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?

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Liquidity buffer risk management

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Interrelations amongst liquidity, market and credit risk

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Implementing CCR and CVA in a primary international bank

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Funding Valuation Adjustment (FVA) and Theory of the Firm: A Theoretical Justification of the Inclusion of Funding Costs in the Evaluation of Financial Contracts

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Funding, liquidity, credit and counterparty links and implications

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Financial sector bond yield curves

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Credit VaR: pillar II adjustments

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CreVar: the toolkit to monitor and measure credit portfolio risks

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Counterparty risk. Wrong way risk and liquidity issues

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Consistent pricing of FX options

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Committed credit lines: pricing and liquidity management

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Basel II second pillar: an analytical VaR with contagion and sectorial risks

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Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

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Analytical credit VaR with stochastic probabilities of defaults and recoveries

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An introduction to counterparty risk

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A framework to measure and manage the prepayment risk of mortgages

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A framework to consistently monitor funding costs and transfer them into pricing

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