Claudio Nordio

illimity Bank

Chief Risk Officer

Milano

Italy

SCHOLARLY PAPERS

9

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1,146

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (9)

1.

Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period

Number of pages: 11 Posted: 21 Sep 2010 Last Revised: 22 Oct 2010
Damiano Brigo and Claudio Nordio
Imperial College London - Department of Mathematics and illimity Bank
Downloads 244 (125,220)
Citation 3

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Liquidity Risk, Random Holding Period, Systemic Risk, Basel Agreement, Value at Risk, Expected Shortfall, Stochastic Holding Period, Variance Normal Mixture, Tail Dependence, Heavy Tailed Distributions

2.

Funded Bilateral Valuation Adjustment

Number of pages: 10 Posted: 09 Nov 2012
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity Bank
Downloads 213 (142,990)

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counterparty risk, credit valuation adjustment, funding valuation adjustment, bilateral valuation adjustment, debit valuation adjustment, CVA, FVA, DVA, Basel III, restructuring counterparty risk, ISDA, CSA, one way CSA

3.

Scaling Operational Loss Data and Its Systemic Risk Implications

Number of pages: 15 Posted: 27 Nov 2013 Last Revised: 12 Feb 2014
Roberto Torresetti and Claudio Nordio
Banco Popolare and illimity Bank
Downloads 199 (152,411)
Citation 1

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Operational Risk, Power Law, Loss Distribution Approach, Advanced Measurement Approach, VaR, Single Loss Approximation, Extreme Value Theory, External Loss Data, Consortium Loss Data, Rescaling, Scaling, Mixture Distribution, Asymptotic Approximation.

4.

Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause

Number of pages: 10 Posted: 09 May 2012 Last Revised: 23 Jan 2013
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity Bank
Downloads 179 (167,909)
Citation 1

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Counterparty risk, Credit Valuation Adjustment, Unilateral CVA, Bilateral CVA, Debit Valuation Adjustment, Closeout, ISDA, Bermudan option, Equity Forward Contract, Break clause, Optional Early Termination clause, Additional Early Termination clause, Gumbel bivariate exponential distributions

5.

A Note on Replicating a CDS Through a Repo and an Asset Swap

Number of pages: 6 Posted: 02 May 2013
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity Bank
Downloads 126 (224,566)

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Credit Default Swap, Repurchase agreement, Structured Repo, Term repo, Repo to maturity, Asset swap, Early termination, Break clause, Close-out amount, Credit Valuation Adjustment, Debit Valuation Adjustment, CVA, DVA

6.

Truncated Lognormals as a Power Law Mimicry in Operational Risk

Number of pages: 12 Posted: 30 Dec 2014
Roberto Torresetti and Claudio Nordio
Banco Popolare and illimity Bank
Downloads 72 (324,056)
Citation 2

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7.

Hedging the 'One-Way CSA' Counterparty Risk in a CDO

Number of pages: 8 Posted: 28 Oct 2013
Lorenzo Giada and Claudio Nordio
illimity Bank and illimity Bank
Downloads 66 (339,691)

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8.

A Simple Factoring Pricing Model

Number of pages: 11 Posted: 02 Aug 2019
Ilaria Nava, Davide Cuccio, Lorenzo Giada and Claudio Nordio
illimity bank, illimity bank, illimity Bank and illimity Bank
Downloads 47 (398,454)

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Factoring, Credit Risk, Bankruptcy, Default Correlation, Kendall’s Tau, Gumbel Copula

9.

Truncated Lognormals As a Power-Law Mimic in Operational Risk

Journal of Operational Risk, Vol. 10, No. 3, 2015
Number of pages: 22 Posted: 01 Jul 2016
Roberto Torresetti and Claudio Nordio
Banco Popolare and illimity Bank
Downloads 0 (669,706)
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Abstract:

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operational risk, power-law, truncated lognormals, mixture distributions, advanced uncated lognormals, mixture distributions, advanced