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Details about Claudio Albanese

Homepage:http://www.level3finance.com

Access statistics for papers by Claudio Albanese.

Last updated 2023-11-08. Update your information in the RePEc Author Service.

Short-id: pal245


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Working Papers

2023

  1. Hedging Valuation Adjustment and Model Risk
    Working Papers, HAL Downloads View citations (2)
    Also in Papers, arXiv.org (2023) Downloads View citations (2)

2022

  1. Quantitative Reverse Stress Testing, Bottom Up
    Working Papers, HAL Downloads
    See also Journal Article Quantitative reverse stress testing, bottom up, Quantitative Finance, Taylor & Francis Journals (2023) Downloads (2023)

2021

  1. A Darwinian Theory of Model Risk
    Post-Print, HAL Downloads View citations (3)
  2. Capital and collateral simulation for reverse stress testing
    Post-Print, HAL Downloads
  3. XVA Analysis From the Balance Sheet
    Post-Print, HAL Downloads View citations (4)
    Also in Papers, arXiv.org (2020) Downloads View citations (6)

    See also Journal Article XVA analysis from the balance sheet, Quantitative Finance, Taylor & Francis Journals (2021) Downloads View citations (18) (2021)

2020

  1. Wealth Transfers, Indifference Pricing, and XVA Compression Schemes
    Post-Print, HAL Downloads
  2. XVA Metrics for CCP Optimisation
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article XVA metrics for CCP optimization, Statistics & Risk Modeling, De Gruyter (2020) Downloads (2020)

2018

  1. Capital and Funding
    Working Papers, HAL Downloads

2016

  1. Capital Valuation Adjustment and Funding Valuation Adjustment
    Papers, arXiv.org Downloads View citations (5)
    Also in Working Papers, HAL (2016) Downloads View citations (5)

2013

  1. Restructuring counterparty credit risk
    Discussion Papers, Deutsche Bundesbank Downloads View citations (7)
    Also in Papers, arXiv.org (2012) Downloads View citations (4)

    See also Journal Article RESTRUCTURING COUNTERPARTY CREDIT RISK, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2013) Downloads View citations (6) (2013)

2009

  1. Spectral methods for volatility derivatives
    Papers, arXiv.org Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (3)

    See also Journal Article Spectral methods for volatility derivatives, Quantitative Finance, Taylor & Francis Journals (2009) Downloads View citations (6) (2009)

2008

  1. Dynamic Conditioning and Credit Correlation Baskets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2007

  1. A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. Moment Methods for Exotic Volatility Derivatives
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Papers, arXiv.org (2007) Downloads View citations (2)
  4. OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

2006

  1. A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

Journal Articles

2023

  1. Quantitative reverse stress testing, bottom up
    Quantitative Finance, 2023, 23, (5), 863-875 Downloads
    See also Working Paper Quantitative Reverse Stress Testing, Bottom Up, Working Papers (2022) Downloads (2022)

2021

  1. XVA analysis from the balance sheet
    Quantitative Finance, 2021, 21, (1), 99-123 Downloads View citations (18)
    See also Working Paper XVA Analysis From the Balance Sheet, Post-Print (2021) Downloads View citations (4) (2021)

2020

  1. XVA metrics for CCP optimization
    Statistics & Risk Modeling, 2020, 37, (1-2), 25-53 Downloads
    See also Working Paper XVA Metrics for CCP Optimisation, Post-Print (2020) Downloads View citations (3) (2020)

2013

  1. RESTRUCTURING COUNTERPARTY CREDIT RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (02), 1-29 Downloads View citations (6)
    See also Working Paper Restructuring counterparty credit risk, Discussion Papers (2013) Downloads View citations (7) (2013)

2012

  1. A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
    European Journal of Operational Research, 2012, 222, (2), 361-368 Downloads View citations (9)

2011

  1. Coherent global market simulations and securitization measures for counterparty credit risk
    Quantitative Finance, 2011, 11, (1), 1-20 Downloads View citations (11)
  2. KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (07), 979-1004 Downloads

2009

  1. A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (06), 877-899 Downloads
  2. Spectral methods for volatility derivatives
    Quantitative Finance, 2009, 9, (6), 663-692 Downloads View citations (6)
    See also Working Paper Spectral methods for volatility derivatives, Papers (2009) Downloads View citations (6) (2009)

2008

  1. Small transaction cost asymptotics and dynamic hedging
    European Journal of Operational Research, 2008, 185, (3), 1404-1414 Downloads View citations (3)

2006

  1. Implied migration rates from credit barrier models
    Journal of Banking & Finance, 2006, 30, (2), 607-626 Downloads View citations (9)

2005

  1. AFFINE LATTICE MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (02), 223-238 Downloads View citations (1)
  2. Discrete credit barrier models
    Quantitative Finance, 2005, 5, (3), 247-256 Downloads View citations (5)

2004

  1. A new Fourier transform algorithm for value-at-risk
    Quantitative Finance, 2004, 4, (3), 328-338 Downloads View citations (14)

2003

  1. A two-state jump model
    Quantitative Finance, 2003, 3, (2), 145-154 Downloads

2002

  1. Dimension Reduction in the Computation of Value‐at‐Risk
    Journal of Risk Finance, 2002, 3, (4), 41-53 Downloads

Books

2005

  1. Advanced Derivatives Pricing and Risk Management
    Elsevier Monographs, Elsevier Downloads View citations (5)

Chapters

2008

  1. A Stochastic Monetary Policy Interest Rate Model
    Springer
 
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