Details about Claudio Albanese

Access statistics for papers by Claudio Albanese.

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

Short-id: pal245

Working Papers

2024

1. Handling model risk with XVAs
   Working Papers, HAL View citations (2)
   Also in Papers, arXiv.org (2024) View citations (2)

2022

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

2021

3. A Darwinian Theory of Model Risk
   Post-Print, HAL View citations (3)
4. Capital and collateral simulation for reverse stress testing
   Post-Print, HAL
5. XVA Analysis From the Balance Sheet
   Post-Print, HAL View citations (6)
   Also in Papers, arXiv.org (2020) View citations (6)
   See also Journal Article XVA analysis from the balance sheet, Quantitative Finance, Taylor & Francis Journals (2021) View citations (20) (2021)

2020

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

2018

8. Capital and Funding
   Working Papers, HAL

2016

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

2013

10. Restructuring counterparty credit risk
    Discussion Papers, Deutsche Bundesbank View citations (7)
    Also in Papers, arXiv.org (2012) 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) View citations (6) (2013)

2009

11. Spectral methods for volatility derivatives
    Papers, arXiv.org View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (3)
    See also Journal Article Spectral methods for volatility derivatives, Quantitative Finance, Taylor & Francis Journals (2009) View citations (6) (2009)

2008

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

2007

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

2006

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

Journal Articles

2023

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

2021

2. XVA analysis from the balance sheet
   Quantitative Finance, 2021, 21, (1), 99-123 View citations (20)
   See also Working Paper XVA Analysis From the Balance Sheet, Post-Print (2021) View citations (6) (2021)

2020

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

2013

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

2012

5. 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 View citations (10)

2011

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

2009

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

2008

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

2006

11. Implied migration rates from credit barrier models
    Journal of Banking & Finance, 2006, 30, (2), 607-626 View citations (10)

2005

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

2004

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

2003

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

2002

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

Books

2005

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

Chapters

2008

1. A Stochastic Monetary Policy Interest Rate Model
   Springer