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Research Papers Series

BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights
Authors: Ilaria Biondo, Antonio Menegon
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2019-07:
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Risk and Profitability of Sight Deposits in the Italian Banking Industry
Authors: Antonio Castagna, Giovanni Mistè
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2019-07:
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2016-11:
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Modelling of Libor-Ois Basis
Authors: Matteo Camelia, Antonio Castagna, Andrea Cova
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2019-06:
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2015-05:
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Collateral Management: Processes, Tools and Metrics
Author: Antonio Castagna
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2019-05:
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2014-08:
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FRTB Effects in CVA Framework
Authors: Gianbattista Aresi, Luca Olivo
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2019-05:
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Market Instruments for Collateral Management
Author: Antonio Castagna
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2019-05:
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2015-01:
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Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital
Author: Antonio Castagna
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2019-05:
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2013-06:
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A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application
Authors: Antonio Scaravaggi, Elia Stucchi
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2019-04:
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Are EBA Stress-Test Exercises Driving Banks into Different Business Models
Authors: Damiano Cutrì, Dario Esposito
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2019-04:
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Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies
Author: Elia Mazzoni
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2019-04:
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2019 FRTB Review - Main Interventions
Author: Marco Carandina
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2019-03:
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Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)
Author: Antonio Castagna
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2019-02:
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An overview of BREXIT effects on the Banking System
Author: Elia Stucchi
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2018-10:
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Interest Rate Benchmarks Reform - Time to Transition is Now
Authors: Raphael Cavallari, Luca Olivo
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2018-09:
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SA-CCR Implications and Challenges of the New Regulation
Author: Lorena Corna
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2018-06:
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Synergies and challenges in the implementation of Basel IV regulations
Authors: Beatrice Bianco, Michele Romanini
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2018-06:
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Modelling Banking Commissions
Authors: Antonio Castagna, Federico Mondonico
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2018-05:
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Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS
Author: Antonio Castagna
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2018-05:
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The Effect of the FRTB in the CVA Risk Framework
Authors: Gianbattista Aresi, Luca Olivo
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2018-01:
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Benchmark Framework for NMDM
Authors: Antonio Castagna, Antonio Scaravaggi
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2017-12:
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Incremental Valuation of Derivatives Contracts

2015-05:
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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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2013-07:
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Sight deposit and non-maturing liability modelling
Authors: Antonio Castagna, Francesco Manenti
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2013-05:
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Pricing of derivatives contracts under collater: agreements liquidity and funding value adjustments

2013-03:
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Consistent pricing of FX options
Authors: Antonio Castagna, Fabio Mercurio
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2013-01:
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The main risks of an FX options portfolio
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2013-01:
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Some practical issues in FX and equity derivatives

2013-01:
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Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach
Authors: Antonio Castagna, Fabio Mercurio, Marco Tarenghi
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2013-01:
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On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?

2012-07:
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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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2012-06:
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Interrelations amongst liquidity, market and credit risk

2012-02:
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Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

2012-01:
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Financial sector bond yield curves

2012-01:
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Liquidity buffer risk management

2012-01:
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Pricing swap including funding costs
Author: Antonio Castagna
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2011-07:
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Funding, liquidity, credit and counterparty links and implications
Author: Antonio Castagna
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2011-07:
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Committed credit lines: pricing and liquidity management

2011-01:
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Counterparty risk. Wrong way risk and liquidity issues

2011-01:
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Implementing CCR and CVA in a primary international bank

2011-01:
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An introduction to counterparty risk

2011-01:
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A framework to consistently monitor funding costs and transfer them into pricing

2011-01:
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CreVar: the toolkit to monitor and measure credit portfolio risks
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2011-01:
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A framework to measure and manage the prepayment risk of mortgages

2010-01:
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Un early warning indicator per la misura del rischio di controparti istituzionali implicita nei dati di mercato
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2009-06:
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Analytical credit VaR with stochastic probabilities of defaults and recoveries
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
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2009-06:
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Basel II second pillar: an analytical VaR with contagion and sectorial risks
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
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2009-01:
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Credit VaR: pillar II adjustments

2009-01:
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The implied volatility surfaces

2007-08:
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