Fabrizio Anfuso

PRA, Bank Of England

20 Moorgate

London, EC2R 6DA

United Kingdom

  • PRA, Bank Of England

SCHOLARLY PAPERS

7

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11

CROSSREF CITATIONS

14

Scholarly Papers (7)

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1.

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 1,955 (15,590)
Citation 6

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Backtesting, Capital Requirements, Basel 3, Exposure Models

2.

A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements

Number of pages: 14 Posted: 17 Jan 2016 Last Revised: 19 Jan 2017
Fabrizio Anfuso, Daniel Aziz, Paul Giltinan and Klearchos Loukopoulos
PRA, Bank Of England, Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse Securities (Europe) Limited
Downloads 1,711 (19,240)
Citation 18

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

3.

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 1,688 (19,653)
Citation 1

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

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 455 (117,526)
Citation 1

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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
Claudio Albanese, Fabrizio Anfuso, Simone Caenazzo and Dimitris Karyampas
Global Valuation, PRA, Bank Of England, Global Valuation Ltd and Bocconi University
Downloads 368 (149,902)

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KVA, PFE, credit limits, stress testing

6.

Collateralised Exposure Modelling: Bridging the Gap Risk

Number of pages: 14 Posted: 05 May 2022 Last Revised: 23 May 2023
Fabrizio Anfuso
PRA, Bank Of England
Downloads 327 (170,460)
Citation 1

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

7.

Bridging the Gap Risk Reloaded: A Comprehensive Methodology for Wrong Way Risk and Leveraged Exposures

Number of pages: 14 Posted: 25 May 2023
Fabrizio Anfuso
PRA, Bank Of England
Downloads 131 (396,380)

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WWR, Collateral, Leverage, IMM, XVA, EAD, Margins