Argo Magazine
Argo Magazine N.19 2020 | |
Argo Magazine N.18 2020 | |
Argo Magazine N.17 2019 | |
Argo Magazine N.16 2019 | |
Argo Magazine N.15 2019 | |
Argo Magazine N.14 Fall 2018 | |
Argo Magazine N.13 Summer 2018 | |
Argo Magazine N.12 Winter 2018 | |
Argo Magazine N.11 Winter 2016 | |
Argo Magazine N.10 Spring 2016 | |
Argo Magazine N.09 Winter 2016 | |
Argo Magazine N.08 Fall 2015 | |
Argo Magazine N.07 Summer 2015 | |
Argo Magazine N.06 Spring 2015 (italian version) | |
Argo Magazine N.05 Winter 2015 | |
Argo Magazine N.04 Fall 2014 (italian version) | |
Argo Magazine N.04 Fall 2014 | |
Argo Magazine N.03 Summer 2014 (italian version) | |
Argo Magazine N.03 Summer 2014 | |
Argo Magazine N.02 Spring 2014 (italian version) | |
Argo Magazine N.02 Spring 2014 | |
Argo Magazine N.01 Winter 2014 (italian version) | |
Argo Magazine N.01 Winter 2014 |
Articles
2020 | |
The LIBOR Reform and the New Reference Rates Revolution: Origin and Guidelines (printable) | |
The LIBOR Reform and the New Reference Rates Revolution: Origin and Guidelines | |
Structural FX Provision: EBA CP on the treatment of structural FX under 352(2) CRR | |
Smart Working e Sistemi a Supporto | |
SA-CCR: Overview on Methodology and Challenges of the Revised Framework | |
Rischio Tasso del Banking Book: Overview ed Evoluzione Normativa | |
Remote Working: Advices to Reduce Risks and Boost Productivity (printable) | |
Remote Working: Advices to Reduce Risks and Boost Productivity | |
New Challenge on SA-CCR: an Overview on Implementation Process (printable) | |
New Challenge on SA-CCR: an Overview on Implementation Process | |
NPL Classification A Random Forest Approach (Rev) (Printable) | |
NPL Classification A Random Forest Approach (Rev) | |
Model Risk Management: Guidelines to an Effective Implementation | |
La Riforma del LIBOR e la Rivoluzione dei Nuovi Tassi di Riferimento: Origine e Linee Guida (printable) | |
La Riforma del LIBOR e la Rivoluzione dei Nuovi Tassi di Riferimento: Origine e Linee Guida | |
Guidelines on ICT and Security Risk Management | |
Guidelines on CRM for Banks Applying the A-IRB | |
Guide on Climate-Related and Environmental Risks | |
FinTechs and Challenger Banks: Old Business, Brand New Approach (Printable) | |
FinTechs and Challenger Banks: Old Business, Brand New Approach | |
EU Implementation of FRTB: Regulatory Technical Standard on the Internal Model Approach | |
EU-wide EBA Stress Test: A Methodological Analysis on the Credit Risk Perspective (Printable) | |
EU-wide EBA Stress Test: A Methodological Analysis on the Credit Risk Perspective | |
EBA Guidelines on Loan Origination and Monitoring | |
Covid-19 Some Thoughts on Public-Guarantee Loans and Banks in Italy | |
Covid-19 Regulatory and Supervisory Response to Facilitate Lending | |
Covid-19 Measures to Mitigate Credit Risk EBA and BIS Initiatives | |
Covid-19 Impatti Economici: Analisi a Confronto | |
Covid-19 Impact Analysis on Italy's Sovereign Risk | |
Covid-19 Analisi di Impatto sulle Probabilità di Fallimento delle Società Non Finanziarie in Italia | |
Covid-19 Analisi di Impatto sul Rischio Paese Italia | |
Climate Change Risk: Overview on the Regulatory and Supervisory Evolution | |
Calendar Provisioning: An Overview | |
2019 | |
Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital (Printable) | |
Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital | |
Security Market- an Overview of Repo and Security Lending Transactions (Printable) | |
Security Market- an Overview of Repo and Security Lending Transactions | |
Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev) (Printable) | |
Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev) | |
NPL Classification A Random Forest Approach (Printable) | |
NPL Classification A Random Forest Approach | |
Modeling of Libor-Ois Basis (Rev) (Printable) | |
Modeling of Libor-Ois Basis (Rev) | |
Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies (Printable) | |
Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies | |
Market Instruments for Collateral Management (Rev) (Printable) | |
Market Instruments for Collateral Management (Rev) | |
EBA Draft Guidlines on Loan Originitation and Monitoring | |
EBA 2020 EU-wide Stress Test - Market Risk | |
Collateral Management: Processes, Tools and Metrics (Rev) (Printable) | |
Collateral Management: Processes, Tools and Metrics (Rev) | |
BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights (Printable) | |
BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights | |
Are EBA Stress-Test Exercises Driving Banks into Different Business Models (Printable) | |
Are EBA Stress-Test Exercises Driving Banks into Different Business Models | |
Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA) (Printable) | |
Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA) | |
A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application (Printable) | |
A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application | |
2019 FRTB Review - Main Interventions (Printable) | |
2019 FRTB Review - Main Interventions | |
2018 | |
The Effect of the FRTB in the CVA Risk Framework | |
The Effect of the FRTB in the CVA Risk Framework (Printable) | |
Synergies and challenges in the implementation of Basel IV regulations | |
Synergies and challenges in the implementation of Basel IV regulations (Printable) | |
SA-CCR Implications and Challenges of the New Regulation | |
SA-CCR Implications and Challenges of the New Regulation (Printable) | |
Modelling Banking Commissions | |
Modelling Banking Commissions (Printable) | |
Interest Rate Benchmarks Reform - Time to Transition is Now (Printable) | |
Interest Rate Benchmarks Reform - Time to Transition is Now | |
Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS | |
Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS (Printable) | |
An overview of BREXIT effects on the Banking System | |
An overview of BREXIT effects on the Banking System (Printable) | |
2017 | |
FRTB Effects in CVA Framework (printable) | |
FRTB Effects in CVA Framework | |
Benchmark Framework for NMDM (Printable) | |
Benchmark Framework for NMDM | |
2016 | |
Risk and Profitability of Sight Deposits in the Italian Banking Industry | |
Incremental Valuation of Derivatives Contracts | |
2015 | |
Modelling of Libor-Ois Basis | |
Market Instruments for Collateral Management | |
2014 | |
Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital | |
Collateral Management: Processes, Tools and Metrics | |
2013 | |
Un early warning indicator per la misura del rischio di controparti istituzionali implicita nei dati di mercato | |
The main risks of an FX options portfolio | |
The implied volatility surfaces | |
Some practical issues in FX and equity derivatives | |
Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach | |
Sight deposit and non-maturing liability modelling | |
Pricing swap including funding costs | |
Pricing of derivatives contracts under collater: agreements liquidity and funding value adjustments | |
Pricing of collateralized derivatives contracts when more than one currency are involved: liquidity and funding value adjustments | |
On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment? | |
Liquidity buffer risk management | |
Interrelations amongst liquidity, market and credit risk | |
Implementing CCR and CVA in a primary international bank | |
Funding Valuation Adjustment (FVA) and Theory of the Firm: A Theoretical Justification of the Inclusion of Funding Costs in the Evaluation of Financial Contracts | |
Funding, liquidity, credit and counterparty links and implications | |
Financial sector bond yield curves | |
Credit VaR: pillar II adjustments | |
CreVar: the toolkit to monitor and measure credit portfolio risks | |
Counterparty risk. Wrong way risk and liquidity issues | |
Consistent pricing of FX options | |
Committed credit lines: pricing and liquidity management | |
Basel II second pillar: an analytical VaR with contagion and sectorial risks | |
Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach | |
Analytical credit VaR with stochastic probabilities of defaults and recoveries | |
An introduction to counterparty risk | |
A framework to measure and manage the prepayment risk of mortgages | |
A framework to consistently monitor funding costs and transfer them into pricing |