Indice 2022

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

Link to the journal

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

Link to the journal

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

Link to the journal