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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.

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

Claudio Albanese
Apr 12, 20231 min read

A Darwinian Theory of Model Risk

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

 
 
 
Claudio Albanese
Apr 12, 20231 min read

Reverse Stress Testing

This paper outlines a framework for Reverse Stress Testing, allowing the analysis extreme but plausible hypothetical future scenarios.

 
 
 
Claudio Albanese
Apr 12, 20231 min read

Risk Managing the LIBOR Transition

This paper discusses ways to manage funding risk in the context of the LIBOR transition, proposing FVA resets to mitigate funding risks.

 
 
 
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