Research Paper Series
30/01/2024 Credit Risk

EBA Supervisory Handbook on the Validation of Rating Systems under the Internal Ratings-Based Approach

09/01/2024 Technology

Asset Tokenization: Potential Applications

03/10/2023 ESG Risk

Market Risk Modeling Extension with Climate and Environmental Risk Factors

19/09/2023 IRRBB & Liquidity Risk

Managing IRRBB: Overview of the New EBA Guidelines and the Importance of an Advanced Sight-deposits Behavioural Model

05/09/2023 Credit Risk

LGD Stress Testing: a Bayesian Averaging Modeling Approach

13/06/2023 Market Risk

Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)

13/06/2023 AML/CFT

Riciclaggio e Finanziamento del Terrorismo: Normativa ed Evidenze

30/05/2023 ESG Risk

Network Analysis Applied to the Euro Stoxx 50: Impact of the ESG Score on the Stock Market

16/05/2023 Market Risk

Quantum Monte Carlo Option Pricing

04/04/2023 Banking System

CBDC - Exploring a New Digital World

21/03/2023 Technology

Real-Time Exposures and xVAs: a Neural Network Approach

07/03/2023 Technology

Advancements in Bank Stress Tests: from Bayesian Averaging to Causal AI

28/02/2023 Model Risk

Model Risk Management Principles and the Impact of Machine Learning Models

07/02/2023 ESG Risk

ESG Climate Scenarios: a Dedicated Framework

04/10/2022 ESG Risk

Bank of Italy: Supervisory Expectations on Climate and Environmental Risks

06/09/2022 Credit Risk

Lessons Learnt on 2022 Climate Stress Test

28/06/2022 Credit Risk

Credit Risk: Basel IV Regulatory Framework and New Frontiers

31/05/2022 ESG Risk

EU Taxonomies on ESG Regulation

29/03/2022 Technology

AI Fairness Addressing Ethical and Reliability Concerns in AI Adoption

22/03/2022 Technology

EU Regulation on Artificial Intelligence

15/03/2022 Credit Risk

A Random Forest Approach to Evaluating NPL Porfolios

15/02/2022 Insurance

Risk Sharing Insurance Schemes for Invoice Discounting Platforms

22/11/2021 ESG Risk

Climate Change Risk: Guidelines for Financial Institutions and Stress-Test Frameworks

12/10/2021 Market Risk

Impact of Covid-19 Announcements on Financial Markets

28/09/2021 Market Risk

A Quantization Overview to Credit Counterparty Risk

06/07/2021 Market Risk

New Standard Conventions for Cash Product and Impacts on Banking Processes and Procedures

22/06/2021 Market Risk

Fallback Rate: Cash and Derivatives Products

01/06/2021 AML/CFT

Introduction on Money Laundering and Financial Terrorism Risks

17/03/2021 Credit Risk

Vulnerability Analysis on Italian Banks during the Covid-19 Pandemic

02/03/2021 Market Risk

2019 FRTB Review - Main Interventions

16/02/2021 Market Risk

Synergies and Challenges in the Implementation of Basel IV Regulations Process

02/02/2021 Market Risk

The Effects of FRTB in the CVA Risk Framework

03/09/2020 Market Risk

The LIBOR Reform and the Revolution of the New Benchmark Rates: Overnight Rates and New Conventions on Contracts and Instruments

02/09/2020 Banking System

The Propagation of Liquidity Shocks in the Interbank Market:an Analysis on Systemic Risk

01/09/2020 ESG Risk

Climate Change Risk: Overview of the Current Landscape and Next Steps for Financial Institutions

03/05/2020 Technology

Remote Working: Advices to Reduce Risks and Boost Productivity

06/04/2020 Market Risk

The LIBOR Reform and the New Reference Rates Revolution: Origin and Guidelines

05/04/2020 Market Risk

New Challenge on SA-CCR: an Overview on Implementation Process

03/01/2020 Stress Test

2020 EU-wide EBA Stress Test:A Methodological Analysis on the Credit Risk Perspective

02/01/2020 Credit Risk

NPL Classification A Random Forest Approach (Rev.)

01/01/2020 Technology

FinTechs and Challenger Banks: Old Business, Brand New Approach

01/11/2019 Market Risk

Security Market: an Overview of Repo and Security Lending Transactions

01/11/2019 Credit Risk

NPL Classification A Random Forest Approach

02/07/2019 Technology

BigTech and New Banking Landscape - Evolution, Benefits, Risks and Oversights

01/07/2019 IRRBB & Liquidity Risk

Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev)

03/06/2019 Market Risk

Modeling of Libor-Ois Basis (Rev)

06/05/2019 IRRBB & Liquidity Risk

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

03/05/2019 Market Risk

Market Instruments for Collateral Management (Rev)

02/05/2019 Market Risk

Collateral Management: Processes, Tools and Metrics (Rev)

03/04/2019 Technology

Maximizing Cumulative Prospect Utility for Target Annuity Investment Strategies

02/04/2019 Stress Test

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

01/04/2019 Credit Risk

A Benchmark Framework for IFRS9 Multiyear-PD Curves Estimation and Stress Testing Exercise - an Application

01/03/2019 Market Risk

2019 FRTB Review - Main Interventions

06/02/2019 Market Risk

Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)

01/10/2018 Banking System

An overview of BREXIT effects on the Banking System

03/09/2018 Market Risk

Interest Rate Benchmarks Reform - Time to Transition is Now

01/06/2018 Market Risk

SA-CCR Implications and Challenges of the New Regulation

02/03/2018 IRRBB & Liquidity Risk

Modelling Banking Commissions

01/03/2018 IRRBB & Liquidity Risk

Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS Committee

02/01/2018 Market Risk

The Effect of the FRTB in the CVA Risk Framework (Rev)

01/12/2017 IRRBB & Liquidity Risk

Benchmark Framework for NMDM

04/03/2013 Market Risk

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

06/02/2013 Market Risk

Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach

05/02/2013 Market Risk

Consistent pricing of FX options

08/01/2013 IRRBB & Liquidity Risk

Sight deposit and non-maturing liability modelling

09/07/2012 Market Risk

On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?

02/04/2012 Market Risk

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

12/07/2011 IRRBB & Liquidity Risk

Funding, liquidity, credit and counterparty links and implications

11/07/2011 Market Risk

Pricing swaps including funding costs

08/06/2009 Market Risk

Analytical credit VaR with stochastic probabilities of defaults and recoveries