Claudio Albanese

Global Valuation

9 Devonshire Sq.

London, London EC2M 4YF

United Kingdom

CASS School of Business

106 Bunhill Row

London, England EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

26

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Top 4,689

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8,545

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Top 9,302

in Total Papers Citations

47

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Scholarly Papers (26)

1.

Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option

Number of pages: 53 Posted: 21 Aug 2014 Last Revised: 14 Sep 2014
Claudio Albanese and Leif B. G. Andersen
Global Valuation and Bank of America Merrill Lynch
Downloads 1,602 (10,184)

Abstract:

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Funding, collateral, FVA, CVA, DVA, accounting

2.

The FVA Puzzle: Accounting, Risk Management and Collateral Trading

Number of pages: 17 Posted: 01 Nov 2014
Claudio Albanese, Leif B. G. Andersen and Stefano Iabichino
Global Valuation, Bank of America Merrill Lynch and Global Valuation Ltd.
Downloads 1,150 (17,172)

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Funding, FVA, CVA, XVA, stress testing, funding arbitrage, accounting, OTC

3.

Capital and Funding

Number of pages: 14 Posted: 26 Apr 2015 Last Revised: 19 Nov 2015
Claudio Albanese, Simone Caenazzo and Stephane Crepey
Global Valuation, Global Valuation Ltd and Université d'Évry - Math Department
Downloads 856 (26,535)

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

4.

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 411 (69,113)

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initial margin, sensitivities, derivatives, bilateral, clearing

5.

Callable Swaps, Snowballs and Videogames

Number of pages: 31 Posted: 03 Oct 2007
Claudio Albanese
Global Valuation
Downloads 385 (74,679)

Abstract:

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interest rate models, long dated derivatives, GPU computing

6.

Coherent Global Market Simulations and Securitization Measures for Counterparty Credit Risk

Number of pages: 27 Posted: 18 May 2011
Claudio Albanese and Giacomo Pietronero
Global Valuation and Global Valuation Ltd
Downloads 384 (74,914)

Abstract:

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counterparty credit risk, cva, global market simulations, swaps

7.

A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices

Number of pages: 28 Posted: 03 Oct 2007
Claudio Albanese, Harry Lo and Stathis Tompaidis
Global Valuation, Imperial College London and University of Texas at Austin - McCombs School of Business
Downloads 379 (75,997)

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energy derivatives, pricing theory

8.
Downloads 347 ( 84,243)

Restructuring Counterparty Credit Risk

Number of pages: 27 Posted: 07 Dec 2011 Last Revised: 24 Jun 2012
Claudio Albanese, Damiano Brigo and Frank Oertel
Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE)
Downloads 292 (101,394)

Abstract:

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Restructuring Counterparty Credit Risk

Bundesbank Discussion Paper No. 14/2013
Number of pages: 40 Posted: 21 Jun 2016
Claudio Albanese, Damiano Brigo and Frank Oertel
Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE)
Downloads 55 (370,953)

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counterparty credit risk, CVA, DVA, margin lending, securitisation, Basel III, CCP, clearing, collateral, OTC

9.

A Structural Model for Credit-Equity Derivatives and Bespoke CDOS

Wilmott Magazine, June 2007
Number of pages: 27 Posted: 10 May 2007
Claudio Albanese and Alicia Vidler
Global Valuation and Merrill Lynch & Co.
Downloads 338 (86,814)

Abstract:

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CDOs, structural models, credit derivatives, equity derivatives

10.

Moment Methods for Exotic Volatility Derivatives

Number of pages: 16 Posted: 15 Oct 2007
Claudio Albanese and Adel Osseiran
Global Valuation and Imperial College London
Downloads 329 (89,487)

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volatility derivatives, operator methods, moment methods, conditional corridor variance swaps, variance knockout options

11.

Capital Valuation Adjustment and Funding Valuation Adjustment

Number of pages: 35 Posted: 12 Mar 2016
Claudio Albanese, Simone Caenazzo and Stephane Crepey
Global Valuation, Global Valuation Ltd and Université d'Évry - Math Department
Downloads 321 (91,939)

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

12.

Optimal Funding Strategies for Counterparty Credit Risk Liabilities

Number of pages: 13 Posted: 18 May 2011
Claudio Albanese, Giacomo Pietronero and Steve White
Global Valuation, Global Valuation Ltd and affiliation not provided to SSRN
Downloads 316 (93,533)

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Dodd-Frank, Basel III, margin lending, CVA, securitization, counterparty credit risk

13.

Credit Limits, Stress Testing and Model Risk for Capital Metrics

Number of pages: 14 Posted: 12 Mar 2016
Global Valuation, Credit Suisse Securities (Europe) Limited, Global Valuation Ltd and Bocconi University
Downloads 241 (124,527)

Abstract:

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KVA, PFE, credit limits, stress testing

14.

Spectral Methods for Volatility Derivatives

Number of pages: 40 Posted: 02 Oct 2007 Last Revised: 13 May 2009
Claudio Albanese, Aleksandar Mijatovic and Harry Lo
Global Valuation, Imperial College London and Imperial College London
Downloads 233 (128,892)

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15.

The Cost of Clearing

Number of pages: 9 Posted: 01 Oct 2015 Last Revised: 03 Oct 2015
Claudio Albanese
Global Valuation
Downloads 232 (129,437)

Abstract:

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Clearing, CCP, KVA, MVA

16.

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 197 (151,193)

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

17.

Prudent Adjustments

Number of pages: 5 Posted: 26 May 2016
Claudio Albanese and Mark Syrkin
Global Valuation and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 174 (169,226)

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Funding Value Adjustment, FVA, Capital Value Adjustment, KVA, XVA, fair valuation, complete markets, incomplete markets, prudent valuations, wealth transfer, arbitrage opportunity, entity specific valuation, local optima, global optimum

18.

Dynamic Conditioning and Credit Correlation Baskets

THE COMPLETE GUIDE TO CDOS - MARKET, APPLICATION, VALUATION, AND HEDGING, Risk Books, Forthcoming
Number of pages: 31 Posted: 26 Mar 2008 Last Revised: 23 Apr 2008
Claudio Albanese and Alicia Vidler
Global Valuation and Merrill Lynch & Co.
Downloads 160 (181,881)

Abstract:

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credit correlation model, cdo, dynamic conditioning, non-parametric

19.

Operator Methods, Abelian Processes and Dynamic Conditioning

Number of pages: 60 Posted: 02 Oct 2007 Last Revised: 05 Nov 2007
Claudio Albanese
Global Valuation
Downloads 124 (223,417)

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operator methods, abelian processes, structured finance

20.

Monte Carlo Pricing Using Operator Methods and Measure Changes

Number of pages: 33 Posted: 20 Apr 2010
Claudio Albanese and Hongyun Li
Global Valuation and Imperial College London - Department of Mathematics
Downloads 121 (227,580)

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pricing theory, monte carlo algorithms, likelihood ratio method, variance reduction, fundamental theorem, operator methods

21.

Convergence Rates for Diffusions on Continuous-Time Lattices

Number of pages: 22 Posted: 02 Oct 2007
Claudio Albanese and Aleksandar Mijatovic
Global Valuation and Imperial College London
Downloads 85 (288,998)

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Pricing theory, lattice models, convergence estimates

22.

BLAS Extensions for Algebraic Pricing Methods

Proceeding PPAA 2015 Proceedings of the 2nd Workshop on Parallel Programming for Analytics Applications Pages 25-30 ACM New York, NY, USA ©2015
Number of pages: 6 Posted: 06 Nov 2014 Last Revised: 30 Sep 2015
Paolo Regondi, Mohammed Zubair and Claudio Albanese
Global Valuation Ltd, Old Dominion University and Global Valuation
Downloads 50 (381,271)

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GPU, CUDA, PDE, BLAS, backward induction, forward induction

23.

Stochastic Integrals and Abelian Processes

Number of pages: 22 Posted: 21 Apr 2008
Claudio Albanese
Global Valuation
Downloads 42 (409,248)

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24.

A Stochastic Volatility Model for Risk-Reversals in Foreign Exchange

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 877-899, 2009
Number of pages: 20 Posted: 01 Dec 2009 Last Revised: 10 May 2011
Claudio Albanese and Aleksandar Mijatovic
Global Valuation and Imperial College London
Downloads 34 (440,953)

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Stochastic volatility, volatility surface dynamics, foreign exchange, risk-reversals, continuous-time Markov chains

25.

Kernel Convergence Estimates for Diffusions with Continuous Coefficients

Number of pages: 19 Posted: 05 Nov 2007
Claudio Albanese
Global Valuation
Downloads 34 (440,953)

Abstract:

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diffusion processes, lattice methods, fast exponentiation

26.

A Comparative Analysis of Correlation Approaches in Finance

Posted: 20 May 2019
University of Hawaii - Shidler College of Business, Global Valuation, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 0 (656,222)

Abstract:

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Financial Correlations, Top-Down Bottom Up, Copulas, Contagion