Newsletter AIFIRM

Does the banks’ performance improve after share buybacks? Marina Brogi; Michelangelo Bruno; Valentina Lagasio –  RMM 2023 02 – Excerpt 1

Analysis of numerical integration schemes for the Heston model: a case study based on the pricing of investment certificate   Michelangelo Fusaro; Pier Giuseppe Giribone; Alessio Tissone –  RMM 2023 02 – Excerpt 2

The growing importance of digital risk & governance Valerio Begozzi; Matteo Oldani; Francesca Terrizzano –  RMM 2023 02 – Excerpt 3

The revision of the banking crisis management and deposit insurance framework in Europe: Why is it important to enhance flexibility Giuseppe Boccuzzi –  RMM 2023 02 – Excerpt 4

COMMISSIONI DI RICERCA AIFIRM: EDUCAZIONE FINANZIARIA PER LA SCUOLA L’evoluzione del Risk Management: dal Passato al Presente, un “Pilastro” della Stabilità Finanziaria Marilena Cino –  RMM 2023 02 – Excerpt 5

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Supply Chain Finance techniques and risks  Francesca Querci   –  RMM 2023 01 – Excerpt 1

Implementation of variance reduction techniques applied to the pricing of investment certificates

Anna Bottasso; Michelangelo Fusaro; Pier Giuseppe Giribone; Alessio Tissone –  RMM 2023 01 – Excerpt 2

Approaching IRRBB and CSRBB: a case study in line with the EBA approach

Michail Michoulas and Ioannis Akkizidis    –  RMM 2023 01 – Excerpt 3

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Implications of IFRS 17 in European financial stability: accounting methodology and evaluation modelling   Stefano de Nichilo – RMM 2022 03 – Excerpt 1

Risk-Adjusted Loan Pricing Franco Fiordelisi, Carlo Palego, Annalisa Richetto, Giulia Scardozzi – RMM 2022 03 – Excerpt 2

The impact of negative interest rates on the pricing of options written on equity: a technical study for a suitable estimate of early termination Anna Bottasso, Lorenzo Bruno,  Pier Giuseppe Giribone – RMM 2022 03 – Excerpt 3

The new supervisory outlier test (SOT) on net interest income (NII): empirical evidence from a sample of Italian banks Domenico Curcio, Igor Gianfrancesco, Annalisa Pansini, Alina Preger  – RMM 2022 03 – Excerpt 4

Modello LGSR forward looking David Cavallini, Francesco Letizia – RMM 2022 03 – Excerpt 5

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Overlaps between minimum requirements and capital buffers: the usability of the combined buffer requirement for Italian banks Wanda Cornacchia, Giulio Guerra – RMM 2022 02 – Excerpt 1

Machine Learning for Credit risk: three successful Case Histories Paolo Di Biasi, Rita Gnutti, Andrea Resti, Daniele Vergari – RMM 2022 02 – Excerpt 2

Beyond VaR and Expected Shortfall: The Stress Testing/Scenario Analysis approach for protecting the investors in the post-Covid19 era Gianluca Macchia – RMM 2022 02 – Excerpt 3

Estimation of flood risk on a residential mortgages portfolio Luca Bartolucci, Guido Luciano Genero, Maurizio Pierigè, Fabio Verachi – RMM 2022 02 – Excerpt 4

Current and prospective estimate of counterparty risk through dynamic neural networks Alessio Agnese, Pier Giuseppe Giribone, Francesca Querci – RMM 2022 02 – Excerpt 5

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A Gentle Introduction to Model Risk Quantification in Commercial Banking Tiziano Bellini – RMM 2022 01 – Excerpt 1
AML Risk Adjusted Performance Indicators: Assumptions & Methodology Ivano Traina, Andrea Vivoli – RMM 2022 01 – Excerpt 2

Banks’ governance and risk management frameworks: how to integrate ESG and climate risks Giuliana Birindelli; Michelangelo Bruno; Alberto Citterio; Umberto Fuso; Guido Luciano Genero; Andrea Magurano – RMM 2022 01 – Excerpt 3

COVID-19: managing a pandemic risk with a Non-physical Damage Business Interruption policy Valentina Lagasio, Fabrizio Santoboni, Davide Tremoglie – RMM 2022 01 – Excerpt 4

Capital adequacy in banks and sustainable finance: the Green Supporting Factor Mariantonietta Intonti, Annalisa Ceo, Giovanni Ferri – RMM 2022 01 – Excerpt 5

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Managing the Risks of Negative Interest Rates Ioannis Akkizidis – RMM 2021 03 – Excerpt 1
Fundamental review of the trading book – Stato dell’arte sulle implementazioni dell’Internal Model Approach Carlo Frazzei, Davide Segantin, Patrizia Dolci, Alessandro Garufi, Simone Luca Zavattari, Ilaria Giommaroni, Andrea Rodonò – RMM 2021 03 – Excerpt 2
Money laundering transaction detection with classification tree models Paolo Giudici, Giulia Marini – RMM 2021 03 – Excerpt 3
A remark on some extensions of the meanvariance portfolio selection models Enrico Moretto – RMM 2021 03 – Excerpt 4
Covid-19 crisis and its impacts on the economic and financial sector Camillo Giliberto – RMM 2021 03 – Excerpt 5
Deep Learning for seasonality modelling in Inflation-Indexed Swap pricing Pier Giuseppe Giribone, Duccio Martelli – RMM 2021 03 – Excerpt 6
RMM 2021 03

Risk allocation with Shapley value in the risk aggregation framework  Antonio Lugoboni, Nicola Picchiotti, Andrea Spuntarelli – RMM 2021 02 – Excerpt 1.pdf
Fundamental review of the trading book: state of art on implementation of Standardised Approach Nicoletta Figurelli, Carlo Frazzei, Alessandro Garufi, Tommaso Giordani, Luca Miraldi, Marco Peron, Andrea Rodonò, Edoardo Siccardi, Gaetano Stellacci, Pietro Tenuta – RMM 2021 02 – Excerpt 2.pdf
Economic recovery and inflation risk: what is the “price” to manage debt? Gianluca Macchia – RMM 2021 02 – Excerpt 3.pdf
Why segmentation matters: a Machine Learning approach for predicting loan defaults in the Peer-to-Peer (P2P) Financial Ecosystem Adamaria Perrotta, Georgios Bliatsios – RMM 2021 02 – Excerpt 4.pdf
Reputational Risk for financial institutions: a proposal of quantitative approach Giorgio Ciaponi, Federico Dalbon, Paolo Fabris, Chiara Frigerio, Emilio Maria Longobardi, Romano Lucernati, Ivan Pattarello Scarcipino, Elena Repetto, Francesca Terrizzano – RMM 2021 02 – Excerpt 5.pdf
Fintech & Risks. A Bibliometric Analysis Vittorio Boscia, Valeria Stafanelli, Marco Trinchera – RMM 2021 02 – Excerpt 6.pdf
Certificate pricing using Discrete Event Simulations and System Dynamics theory Pier Giuseppe Giribone, Roberto Revetria – RMM 2021 02 – Excerpt 7.pdf

How to maximize profitability and minimize risk with dynamic stress testing Ioannis Akkizidis – RMM-2021-01-Excerpt-1.pdf
Moving from IBORs to Alternative Risk Free Rates Marco Bianchetti, Umberto Cherubini and Veronica Falco – RMM-2021-01-Excerpt-2.pdf
Artificial Intelligence: the Application of Machine Learning and Predictive Analytics in Credit Risk Stefano Bonini and Giuliana Caivano – RMM-2021-01-Excerpt-3.pdf
A possible holistic framework to manage ICT third-party risk in the age of cyber risk Andrea Giacchero and Jacopo Moretti – RMM-2021-01-Excerpt-4.pdf
Design of an algorithm for an adaptive Value at Risk measurement through the implementation of robust methods in relation to asset cross-correlation Marco Bagnato, Anna Bottasso and Pier Giuseppe Giribone – RMM-2021-01-Excerpt-5.pdf
Banks’ Corporate Governance: lessons learnt from the Great Financial Crisis Enrica Rimoldi – RMM-2021-01-Excerpt-6.pdf

Corporate Default Forecasting with Machine Learning Mirko Moscatelli, Simone Narizzano, Fabio Parlapiano, Gianluca Viggiano – RMM-2020-03-Excerpt-1.pdf
Modelli di business e modelli manageriali della banca. Dal rischio di business model al rischio strategico. Verso una revisione del framework dei rischi bancari? Maurizio Baravelli – RMM-2020-03-Excerpt-2.pdf
Pandemic risk: operational aspects Camilla Bello, Stefano Desando, Veruska Orio, Paolo Giudici, Barbara Tarantino – RMM-2020-03-Excerpt-3.pdf
The resilience of green stocks during COVID-19: a clustering approach Giovanni Maria Bonagura, Luca D’Amico, Alessio Iacopino, Lorenzo Prosperi, Lea Zicchino – RMM-2020-03-Excerpt-4.pdf
Climate Change: EU taxonomy and forward looking analysis in the context of emerging climate related and environmental risks Giuliana Birindelli, Vera Palea, Luca Trussoni, Fabio Verachi – RMM-2020-03-Excerpt-5.pdf
Critical analysis of the most widespread methodologies for the simulation of the short rate dynamics under extreme market conditions Pier Giuseppe Giribone – RMM-2020-03-Excerpt-6.pdf
Blockchain securitization: an innovative technology to boost asset liquidity Valerio Begozzi, Francesco Dammacco, Paolo Fabris, Gianmarco Fagiani, Chiara Frigerio, Riccardo Rostagno, Angelo Santarossa – RMM-2020-03-Excerpt-7.pdf

Il framework della negoziazione algoritmica introdotto da MiFID II e l’importanza del processo di autovalutazione e convalida di Carlo Frazzei, Gabriele Bonini, Marco Burigo e Francesco Ciarambino – RMM-2020-02-Excerpt-1.pdf
Covid-19 e governance bancaria, Position paper XXII a cura di Marina Brogi con il contributo di Lorenzo Sartor, Anna Grazia Quaranta, Valentina Lagasio, Michela Pinto e Alessio Pentola – RMM-2020-02-Excerpt-2.pdf
CoViD-19 in Italy: a mathematical model to analyze the epidemic containment strategy and the economic impacts di Fabio Verachi, Luca Trussoni, Luciano Lanzi – RMM-2020-02-Excerpt-3.pdf
Studio e Progettazione di un sistema di pricing e di gestione del rischio per il prodotto strutturato EAKO – European American Knock-Out option di Mattia Fabbri e Pier Giuseppe Giribone – RMM-2020-02-Excerpt-4.pdf
La copertura dei mutui a tasso fisso mediante strumenti derivati: profili applicativi in tema di rischio di tasso di interesse, IFRS9 e regolamento EMIR. di Raffale Mazzeo, Igor Gianfrancesco e Damiano Colnago – RMM-2020-02-Excerpt-5.pdf