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EBA Report on the Role of Environmental and Social Risks in the Prudential Framework
EBA Supervisory Handbook on the Validation of Rating Systems under the Internal Ratings-Based Approach
Asset Tokenization: Potential Applications
Market Risk Modeling Extension with Climate and Environmental Risk Factors
Managing IRRBB: Overview of the New EBA Guidelines and the Importance of an Advanced Sight-deposits Behavioural Model
LGD Stress Testing: a Bayesian Averaging Modeling Approach
Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)
Riciclaggio e Finanziamento del Terrorismo: Normativa ed Evidenze
Network Analysis Applied to the Euro Stoxx 50: Impact of the ESG Score on the Stock Market
CBDC - Exploring a New Digital World
Real-Time Exposures and xVAs: a Neural Network Approach
Advancements in Bank Stress Tests: from Bayesian Averaging to Causal AI
Model Risk Management Principles and the Impact of Machine Learning Models
ESG Climate Scenarios: a Dedicated Framework
Bank of Italy: Supervisory Expectations on Climate and Environmental Risks
Lessons Learnt on 2022 Climate Stress Test
Risk Attribution
Credit Risk: Basel IV Regulatory Framework and New Frontiers
EU Taxonomies on ESG Regulation
AI Fairness Addressing Ethical and Reliability Concerns in AI Adoption
EU Regulation on Artificial Intelligence
A Random Forest Approach to Evaluating NPL Porfolios
Risk Sharing Insurance Schemes for Invoice Discounting Platforms
Climate Change Risk: Guidelines for Financial Institutions and Stress-Test Frameworks
Impact of Covid-19 Announcements on Financial Markets
A Quantization Overview to Credit Counterparty Risk
New Standard Conventions for Cash Product and Impacts on Banking Processes and Procedures
Fallback Rate: Cash and Derivatives Products
Introduction on Money Laundering and Financial Terrorism Risks
Vulnerability Analysis on Italian Banks during the Covid-19 Pandemic
Synergies and Challenges in the Implementation of Basel IV Regulations Process
The Effects of FRTB in the CVA Risk Framework
The LIBOR Reform and the Revolution of the New Benchmark Rates: Overnight Rates and New Conventions on Contracts and Instruments
The Propagation of Liquidity Shocks in the Interbank Market:an Analysis on Systemic Risk
Climate Change Risk: Overview of the Current Landscape and Next Steps for Financial Institutions
Remote Working: Advices to Reduce Risks and Boost Productivity
The LIBOR Reform and the New Reference Rates Revolution: Origin and Guidelines
New Challenge on SA-CCR: an Overview on Implementation Process
2020 EU-wide EBA Stress Test:A Methodological Analysis on the Credit Risk Perspective
NPL Classification A Random Forest Approach (Rev.)
FinTechs and Challenger Banks: Old Business, Brand New Approach
Security Market: an Overview of Repo and Security Lending Transactions
NPL Classification A Random Forest Approach
BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights
Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev)
Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital (Rev)
Market Instruments for Collateral Management (Rev)
Collateral Management: Processes, Tools and Metrics (Rev)
Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies
Are EBA Stress-Test Exercises Driving Banks into Different Business Models?
A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application
Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)
SA-CCR Implications and Challenges of the New Regulation
Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS Committee
The Effect of the FRTB in the CVA Risk Framework (Rev)
Benchmark Framework for NMDM
Pricing of derivatives contracts under collateral agreements: liquidity and funding value adjustments
Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach
Sight deposit and non-maturing liability modelling
On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?
Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach
Funding, liquidity, credit and counterparty links and implications
Pricing swaps including funding costs
Analytical credit VaR with stochastic probabilities of defaults and recoveries