1
Bibliografia
C. Alexander “Volatility and correlation: measurement, models and applications”, working paper, 1998.
P. Artzner e al. “Coherent measurement of risk”, in Mathematical Finance 1999, Vol. 9, No. 3.
G. Barone-Adesi e K. Giannopoulos “Non parametric VaR techniques. Myths and
realities”, working paper, 2001.
Basel Committee on Banking Supervision, “International Convergence of Capital
Measurements and Capital Standards”, Bank for International Settlement, July 1988.
Basel Committee on Banking Supervision, “ Supervisory Treatment of Market Risk”, Bank for International Settlement, April 1993.
Basel Committee on Banking Supervision, “Amendment to the capital accord to
incorporate market risks”, Bank for International Settlement, January 1996.
Basel Committee on Banking Supervision “Supervisory Frame-work for the usu of
backtesting in conjunction with the internal models approach to market risk capital requirements”, Bank for International Settlement, January 1996.
Basel Committee on Banking Supervision, “The Application of Basel II to Trading
Activities and the Treatment of Double Default Effects”, Bank for International
Settlement, July 2005.
Basel Committee on Banking Supervision, “Basel II: International Convergence of
Capital Measurement and Capital Standards. A Revisited Framework-Comprehensive Version”, Bank for International Settlement, June 2006.
Basel Committee on Banking Supervision, “Guidelines for computing capital for
incremental risk in the trading book – consultative document”, Bank for International
Settlement, July 2008.
Basel Committee on Banking Supervision, “Enhancements to the Basel II framework”, Bank for International Settlement, July 2009.
Basel Committee on Banking Supervision, “Guidelines for computing capital for
incremental risk in the trading book – final version”, Bank for International Settlement,
July 2009.
Basel Committee on Banking Supervision “Revision to the Basel II market risk
framework”, Bank for International Settlement, July 2009.
Basel Committee on Banking Supervision, “Strengthening the resilience of the banking
sector”, Bank for International Settlements, December 2009.
Basel Committee on Banking Supervision, “The Basel Committee’s response to the
financial crisis: re-port to the G20”, Bank for International Settlement, October 2010.
Basel Committee on Banking Supervision, “Basel III: a global regulatory framework
for more resilient banks and banking systems”, December 2010.
Basel Committee on Banking Supervision, “Revision to the Basel II market risk
framework. Updated as of 31 December 2010”, Bank for International Settlement,
2 Basel Committee on Banking Supervision, “Interpretive issues with respect to the
revisions to the market risk framework”, Bank for International Settlement, November
2011.
Basel Committee on Banking Supervision, “Basel III regulatory consistency assessment
programme”, Bank for International Settlement, April 2012.
Basel Committee on Banking Supervision, “Fundamental review of the trading book –
consultative document”, Bank for International Settlement, May 2012.
Basel Committee on Banking Supervision, “Regulatory consistency assessment
programme (RCAP) – Analysis of risk-weighted assets for market risk”, Bank for
International Settlement, January 2013.
Basel Committee on Banking Supervision, “Results of the Basel III monitoring exercise
as of 30 June”, Bank for International Settlement, March 2014.
J. Berkowitz, “Testing density forecasts, with applications to risk management”, working paper, Journal of Business & Economic Statistics, 2001.
C. Books, G. Persand, “The pitfalls of VaR estimates”, working paper, Risk, 2003. J. Boudoukh, M. Richardson, R. F. Whitelaw, “The best of both worlds: a Hybrid
Approach to calculat-ing Value at Risk”, working paper, New York, 1998.
D. Brigo, M. Morini, A. Pallavicini, “Counterparty credit risk, collateral and funding”, Wiley Finance, United Kingdom, 2013.
C. Brooks and G. Persand “Volatility forecasting risk manage-ment”.
A. Burchi, “Modelli VaR e il requisito di capitale per il rischio di mercato”, Banca impresa società, 2011, Vol. 30, Fasc. 1, Pagg. 75-103.
A. Campell, “The risk of value-at-risk”, working paper, Risk, 2009.
J. Chen, “Measuring market risk under Basel II, 2.5, and III: VaR, Stressed VaR, and
Expected Shortfall”, working paper, Michigan State University – College of Law, 2013.
P. F. Christoffersen, “Evaluating interval forecasts”, working paper, International Economic Review, 1998.
J. Danielsson e al. “Incentives for effective risk management”, in Journal of Banking & Finance 2002, Vol. 26, No. 7.
B. De Prisco, D. Rosen, “Modelling stochastic counterparty credit exposure for
derivatives portfolios”, working paper, 2005.
F. X. Diebold, T. A. Gunther, A. S. Tay, “Evaluating density forecasts with applications
to financial risk management”, working paper, International Economic Review, 1998.
D. Duffie, A. Li e T. Lubke, “Policy perspectives on OTC derivatives market
infra-structure”, working paper, Federal Reserve Bank of New York Staff Reports n. 424,
2010.
D. Duffie, H. Zhu, “Does a central clearing counterparty reduce counterparty risk?”, working paper Graduate school of business, Stanford University, 2011.
EuroCCP, “Recommendations for reducing risks among interoperating CCPs”, discussion document, 2010.
3 European Banking Authority, “Guidelines on the Incrememntal Default and Migration
Risk Charge (IRC)”, May 2012.
M. Filagrana, “Derivatives and counterparty risks: towards new rules”, working paper, Bancaria 2010, Vol.66, Fasc. 4.
M. S. Gibson, “Measuring counterparty credit exposue to a margined counterparty”, working paper, Federal Reserve Board, 2005.
J. Gregory, “Counterparty credit risk and credit value adjustment. A continuing
challenge for global financial markets”, Wiley Finance, United Kingdom, 2012.
J. Hull and A White, “Incorporating volatility updating into the historical simulation
method for Value at Risk”, working paper, Journal of Risk, 1998.
P. Jorion, “Value at Risk: the new benchmark for managing financial risk”, McGraw.Hill, 2007.
P. H. Kupiec, “Techniques for verifying the accuracy of risk measurement models”, working paper, The Journal of Derivatives, 1995.
L. Liberace, “Dal CVA al CVA Desk: verso una gestione attiva del rischio di
controparte”, in Banche e banchieri – Vol.39 – Fasc. 2. – Anno 2012.
J. A. Lopez , “Methods for Evaluating Value at Risk Estimates”, working paper, FRBSF Economic Review, 1999.
J. Magerle e T. Nellen, “Interoperability between central counterparties”, working paper, Swiss Na-tional Bank, 2011.
P. Nasi, “I rischi di mercato e il rischio di controparte: novità regolamentari e
implicazioni gestionali”, in “Basilea 3. Gli impatti sulle banche”, a cura di F. Tutino, G.
Birindelli, P. Ferretti, Egea, Milano, 2011.
F. Orsi, “Misurazione del rischio di mercato”, Plus (collana Manuali), Pisa, 2009. M. Pritsker “The hidden dangers of historical simulation”, working paper, 2001. M. Pykhtin, “Modeling credit exposure for collateralized counterparties”, working paper, Federal Re-serve Board, 2009.
A. Resti, A. Sironi, “Rischio e valore nelle banche”, Egea, Milano, 2008.
A. Resti, A. Sironi, “La crisi finanziaria e Basiela 3: origini, finalità e struttura del
nuovo quadro regola-mentare”, working paper, Carefin 1/2011, Università Bocconi di
Milano.
R. T. Rockafeller, S. Uryasev, “Conditional val-ue-at-risk for general loss
distributions”, in Journal of Banking & Finance 2002, Vol. 26.
D. Rowe and M. Mulholland, “Aggregating market-driven credit exposure: a multiple
risk source ap-proach”, in Derivative Credit Risk, 1999.
D. Rowe, “Aggregating credit exposure: the primary risk source approach”, in Derivative Credit Risk, 1995.
M. C. A. Ruijter, “An interest rate model for counterparty credit risk”, Tesi presentata al Delf Institute of Applied Mathematics, Netherlands, 2010.
4 F. Saita, “Il risk management in banca. Performance corrette per il rischio e
allocazione del capitale”, Egea, Milano, 2000.
Senior Supervisors Group, “Observation on risk management practices during the
recent market turbu-lence”, March 2008.
E. Sheedy, “Why VaR models fail and what can be done”, working paper, 2008.
A. Sironi, M. Marsella, “La misurazione e la gestione dei rischi di mercato”, Il Mulino, Bologna, 1997.
A. Sironi, “The Basel Committee proposals for capital adequacy reform: a critical
analysis”, working paper, Carefin 16/2010, Università Bocconi di Milano.
Y. Van der Stel, “The incremental risk model: an assessment of alternative inputs and
assumptions in a multi-period setting”, 2009.
W. Vecchiato, E. Virguti, “Rischio di controparte, derivati e Credit Value Adjustment:
strategie e metodi di gestione”, Bancaria - Vol.69 – Fasc. 5 – Anno 2013.
