Articles

2017

FRTB Effects in CVA Framework (printable)

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FRTB Effects in CVA Framework

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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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