Newsletter AIFIRM

Artificial Intelligence: new data and new models in credit risk management  Rossella Locatelli, Giovanni Pepe, Fabio Salis, Andrea Uselli –  RMM 2023 03 – Excerpt 1

Modeling the interest rates term structure using Machine Learning: a Gaussian process regression approach   Alessio Delucchi, Pier Giuseppe Giribone  –  RMM 2023 03 – Excerpt 2

Data Analytics for Credit Risk Models in Retail Banking: a new era for the banking system  Adamaria Perrotta, Andrea Monaco, Georgios Bliatsios RMM 2023 03 – Excerpt 3

Operational Risk framework and Standardised Measurement Approach (SMA) Paolo Fabris, Alessandro Leoni, Ilaria Marfella RMM 2023 03 – Excerpt 4

The link between MiFID and Risk Appetite Framework as an application of best practices for wealth management and the entire value chain of the financial industry Gianluca Macchia, Emanuele De Angelis, Michele Vitagliano RMM 2023 03 – Excerpt 5

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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