Archivio Rivista AIFIRM 2021

Vol 16 Issue 2

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

Vol 16, Issue 1

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