Stefano Iabichino

JP Morgan

London

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 22,434

in Total Papers Downloads

3,991

SSRN CITATIONS
Rank 42,726

SSRN RANKINGS

Top 42,726

in Total Papers Citations

6

CROSSREF CITATIONS

13

Scholarly Papers (6)

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1.

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 and JP Morgan
Downloads 1,622 (19,516)
Citation 20

Abstract:

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

2.

Risk Managing the LIBOR Transition

Number of pages: 15 Posted: 27 Feb 2021 Last Revised: 07 May 2021
Claudio Albanese, Stefano Iabichino and Paolo Mammola
Global Valuation, JP Morgan and Citigroup Global Markets Limited
Downloads 1,101 (34,621)

Abstract:

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LIBOR, FVA, risk management, funding risk

3.

Reverse Stress Testing, Bottom Up

https://www.tandfonline.com/doi/full/10.1080/14697688.2023.2187315
Number of pages: 14 Posted: 24 Mar 2020 Last Revised: 19 Apr 2023
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
Global Valuation, Université d'Évry - Equipe d'Analyse et Probabilites and JP Morgan
Downloads 479 (103,545)

Abstract:

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Model Validation, Stress Testing, Reverse Stress Testing, Capital Models, Risk Margins, Trading Limits, Cost of Capital, KVA, Model Risk, Short Rate Models, PFE

4.

A Darwinian Theory of Model Risk

Number of pages: 14 Posted: 24 Mar 2020 Last Revised: 27 May 2021
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
Global Valuation, Université d'Évry - Equipe d'Analyse et Probabilites and JP Morgan
Downloads 410 (124,620)

Abstract:

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Model Risk, Structured Products, Short Rate Models

5.

Funding, Wealth Transfer and Financial Stability in the post-LIBOR Era

Number of pages: 13 Posted: 06 Dec 2021 Last Revised: 30 Mar 2023
Stefano Iabichino and Christian Kappen
JP Morgan and affiliation not provided to SSRN
Downloads 271 (193,946)

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Interest Rates, LIBOR, Fallback, SOFR, Credit Sensitive Add-on, Funding Risk, Network Theory

6.

Liquidity in the Time of COVID

Number of pages: 6 Posted: 06 May 2021
Claudio Albanese, Stefano Iabichino and Paolo Mammola
Global Valuation, JP Morgan and Citigroup Global Markets Limited
Downloads 108 (426,578)

Abstract:

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FVA, liquidity risk, funding risk