Argo Magazine

Argo Magazine N.15 2019

English

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

Argo Magazine N.05 Winter 2015

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Argo Magazine N.04 Fall 2014

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Argo Magazine N.03 Summer 2014

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Argo Magazine N.02 Spring 2014

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Argo Magazine N.01 Winter 2014

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Research Papers Series

2019

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

Author: Antonio Castagna

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Modeling of Libor-Ois Basis (Rev)

Authors: Antonio Castagna, Andrea Cova, Matteo Camelia

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Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies

Author: Elia Mazzoni

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Market Instruments for Collateral Management (Rev)

Author: Antonio Castagna

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Collateral Management: Processes, Tools and Metrics (Rev)

Author: Antonio Castagna

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

Authors: Damiano Cutrì, Dario Esposito

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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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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 FRTB Review - Main Interventions

Author: Marco Carandina

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2018

The Effect of the FRTB in the CVA Risk Framework

Authors: Gianbattista Aresi, Luca Olivo

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Synergies and challenges in the implementation of Basel IV regulations

Authors: Beatrice Bianco, Michele Romanini

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SA-CCR Implications and Challenges of the New Regulation

Author: Lorena Corna

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Modelling Banking Commissions

Authors: Antonio Castagna, Federico Mondonico

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Interest Rate Benchmarks Reform - Time to Transition is Now

Authors: Luca Olivo, Raphael Cavallari

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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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An overview of BREXIT effects on the Banking System

Author: Elia Stucchi

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2017

FRTB Effects in CVA Framework

Authors: Gianbattista Aresi, Luca Olivo

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Benchmark Framework for NMDM

Authors: Antonio Castagna, Antonio Scaravaggi

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2016

Risk and Profitability of Sight Deposits in the Italian Banking Industry

Authors: Antonio Castagna, Giovanni Mistè

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Incremental Valuation of Derivatives Contracts

Author: Antonio Castagna

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2015

Modelling of Libor-Ois Basis

Authors: Antonio Castagna, Andrea Cova, Matteo Camelia

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Market Instruments for Collateral Management

Author: Antonio Castagna

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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

Author: Antonio Castagna

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Collateral Management: Processes, Tools and Metrics

Author: Antonio Castagna

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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

Authors: Antonio Castagna, Fabio Mercurio, Marco Tarenghi

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Sight deposit and non-maturing liability modelling

Authors: Antonio Castagna, Francesco Manenti

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Pricing swap including funding costs

Author: Antonio Castagna

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

Author: Antonio Castagna

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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?

Author: Antonio Castagna

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Liquidity buffer risk management

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Interrelations amongst liquidity, market and credit risk

Author: Antonio Castagna

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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

Author: Antonio Castagna

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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

Author: Antonio Castagna

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Consistent pricing of FX options

Authors: Antonio Castagna, Fabio Mercurio

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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

Authors: Fabio Mercurio, Michele Bonollo, Paola Mosconi

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

Authors: Fabio Mercurio, Michele Bonollo, Paola Mosconi

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Analytical credit VaR with stochastic probabilities of defaults and recoveries

Authors: Fabio Mercurio, Michele Bonollo, Paola Mosconi

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An introduction to counterparty risk

Author: Antonio Castagna

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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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