EIOPA: Comparative Study on Market and Credit Risk Modelling

Argo Magazine N.26 - Summer 2024

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

Asset Tokenization - Potential and Challenges of a Disruptive Technology

Behavioral Modelling and ALM - A Scenario Analysis on the Italian Banking System

Quantum Monte Carlo Option Pricing

Real-Time Exposures and xVAs: a Neural Network Approach

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

Challenger Models: Methodological Approach and Use

Risk Attribution

Corporate Default Forecasting with Machine Learning

Explainable Artificial Intelligence: Interpreting Default Forecasting Models Based on Machine Learning

A Random Forest Approach to Evaluating NPL Porfolios

Causal AI: Not the AI You Use to Know

ECB Economy-wide Climate Stress Test: Methodology and Results

A Quantization Overview to Credit Counterparty Risk

Big Data and Artificial Intelligence: Principles for the Use of Algorithms in Decision-making Processes

ESG: BIS – Climate-related Risks – Measurement Methodologies and their Transmission Channels

Climate Stress Test Banque de France’s First Pilot Exercise: Main Results and Methodology - Focus on Transition Risk

NPL Classification A Random Forest Approach (Rev.)

NPL Classification A Random Forest Approach

Modeling of Libor-Ois Basis (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

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

Modelling Banking Commissions

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

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

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

Consistent pricing of FX options

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

Interrelations Amongst Liquidity, Market and Credit Risks: Some Proposals for Integrated Approaches

Funding, liquidity, credit and counterparty links and implications

Pricing swaps including funding costs

Analytical credit VaR with stochastic probabilities of defaults and recoveries