Simone Caenazzo

Global Valuation Ltd

Financial Engineer

9 Devonshire Square

London, EC2M 4YF

United Kingdom

  • Global Valuation Ltd

SCHOLARLY PAPERS

5

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SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (5)

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1.

Capital and Funding

Number of pages: 14 Posted: 26 Apr 2015 Last Revised: 19 Nov 2015
Claudio Albanese, Simone Caenazzo and Stéphane Crépey
Global Valuation, Global Valuation Ltd and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 998 (38,413)
Citation 5

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KVA, FVA, OTC derivatives, CVA, counterparty credit risk

2.

Regression Sensitivities for Initial Margin Calculations

Number of pages: 6 Posted: 14 Apr 2016 Last Revised: 15 Jun 2016
Claudio Albanese, Simone Caenazzo and Oliver Frankel
Global Valuation, Global Valuation Ltd and Bilateral Consulting
Downloads 519 (90,854)

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initial margin, sensitivities, derivatives, bilateral, clearing

3.

Capital Valuation Adjustment and Funding Valuation Adjustment

Number of pages: 35 Posted: 12 Mar 2016
Claudio Albanese, Simone Caenazzo and Stéphane Crépey
Global Valuation, Global Valuation Ltd and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 463 (104,282)
Citation 8

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CVA, FVA, KVA, MVA, valuation adjustments, cost of capital, risk margin, collateral, OTC derivatives

4.

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 349 (144,021)

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KVA, PFE, credit limits, stress testing

5.

VaR Optimisation and Regression Sensitivities

Number of pages: 14 Posted: 27 Aug 2016 Last Revised: 23 Apr 2017
Claudio Albanese, Simone Caenazzo and Mark Syrkin
Global Valuation, Global Valuation Ltd and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 296 (171,550)

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value-at-risk, sensitivities, derivatives, bilateral, margin, risk