Published Papers

Research and Published Papers

Global Valuation has a 15-year track record of research and publishing across a wide range of topics in capital markets. A selection of the papers are highlighted here. The broader catalogue is available from Claudio Albanese's page in SSRN.

We also publish articles here on our software innovations and future roadmap of Esther.

Claudio Albanese

Apr 17, 2023
1 min

Beyond Value-at-Risk: Wrong-Way-Risk Add-ons and Reverse Stress Testing

This paper discusses wrong-way risk and reverse stress testing in the context of 12 clearinghouse margining policies, with a SLVJ model.

55 views0 comments

Claudio Albanese

Apr 12, 2023
1 min

Capital Valuation Adjustment and Funding Valuation Adjustment

This paper discusses Capital Valuation Adjustment and Funding Valuation Adjustment XVAs at the full portfolio level.

15 views0 comments

Claudio Albanese

Apr 12, 2023
1 min

The FVA Puzzle: Accounting, Risk Management and Collateral Trading

This paper covers Funding Value Adjustment in the context of ccounting, Risk Management and Collateral Trading.

15 views0 comments

Claudio Albanese

Apr 12, 2023
1 min

A Darwinian Theory of Model Risk

This paper proposes a Darwinian Theory of Model Risk and methodology for analysing risk management approaches.

21 views0 comments