Fabrizio Anfuso

PRA, Bank Of England

20 Moorgate

London, EC2R 6DA

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 13,162

SSRN RANKINGS

Top 13,162

in Total Papers Downloads

5,227

SSRN CITATIONS
Rank 39,208

SSRN RANKINGS

Top 39,208

in Total Papers Citations

5

CROSSREF CITATIONS

14

Scholarly Papers (6)

1.

The SA-CCR for Counterparty Credit Risk Exposure - An Analysis from Risk and Pricing Perspectives

Risk, June 2015
Number of pages: 13 Posted: 03 May 2014 Last Revised: 30 Aug 2017
Dimitris Karyampas and Fabrizio Anfuso
Bocconi University and PRA, Bank Of England
Downloads 1,586 (15,876)
Citation 1

Abstract:

Loading...

SA-CCR, OTC, IMM, Capital, Counterparty Credit Risk, Initial Margin

2.

A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models

Risk, August 2014
Number of pages: 25 Posted: 14 May 2013 Last Revised: 30 Aug 2017
Fabrizio Anfuso, Dimitris Karyampas and Andreas Nawroth
PRA, Bank Of England, Bocconi University and Credit Suisse AG
Downloads 1,544 (16,532)
Citation 3

Abstract:

Loading...

Backtesting, Capital Requirements, Basel 3, Exposure Models

3.

A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements

Number of pages: 14 Posted: 17 Jan 2016 Last Revised: 19 Jan 2017
PRA, Bank Of England, Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse Securities (Europe) Limited
Downloads 1,405 (19,068)
Citation 18

Abstract:

Loading...

Initial Margin, BCBS-IOSCO, CCP, OTC, Clearing, Counterparty Credit Risk, XVA, Liquidity, Funding costs

4.

Correlation Breakdown and the Influence of Correlations on VaR

Number of pages: 23 Posted: 17 Apr 2014
Andreas Nawroth, Fabrizio Anfuso and Fredrik Akesson
Credit Suisse AG, PRA, Bank Of England and Credit Suisse AG
Downloads 365 (113,032)
Citation 1

Abstract:

Loading...

Financial crisis, VaR, Correlation breakdown, Stock return asymmetries, Portfolio diversification, Financial markets

5.

Credit Limits, Stress Testing and Model Risk for Capital Metrics

Number of pages: 14 Posted: 12 Mar 2016
Global Valuation, PRA, Bank Of England, Global Valuation Ltd and Bocconi University
Downloads 304 (137,641)

Abstract:

Loading...

KVA, PFE, credit limits, stress testing

6.

Collateralised Exposure Modelling: Bridging the Gap Risk

Number of pages: 15 Posted: 05 May 2022 Last Revised: 09 May 2022
Fabrizio Anfuso
PRA, Bank Of England
Downloads 23 (664,293)

Abstract:

Loading...

Collateralised Exposure, Gap Risk, Overcollateralisation, Leverage, Concentration, WWR