castagna-antonio

Antonio Castagna

Antonio Castagna is partner and co-founder of the consulting company Iason Consulting ltd, focussing on the design of models to price complex derivatives and to measure financial, liquidity and credit risks.
He previously was in Banca IMI, Milan, from the 1999 to 2006, where he first worked as a market maker of cap/floor’s and swaptions, and then he set up the FX options market-making desk. He started his carrier in the 1997 at IMI Bank, Luxembourg, in the Risk Control Department.
He wrote papers on different issues, including credit derivatives, managing of exotic options’ risks and volatility smiles. He is also author of the books “FX Options and Smile Risk” and “Measuring and Managing Liquidity Risk” both published by Wiley.

COVID-19: Analisi di Impatto sulle Probabilità di Fallimento delle Società Non Finanziarie in Italia
a cura di Antonio Castagna e Luca Olivo

Posted in: Articolo

Ago 22 2020
1.   Introduzione L’analisi d’impatto contenuta in questo articolo propone una stima del deterioramento complessivo della qualità creditizia delle Società Non Finanziarie in Italia nei prossimi 5 anni, a seguito delle misure di contenimento messe in atto a partire dal mese di Marzo 2020 dalle Autorità ...more »

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Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment KVA – Part II
a cura di Antonio Castagna

Posted in: Articolo

Lug 18 2019
1  Introduction In the first part of this article, we sketched a general framework to calculate the bank’s value. In this second part of the article, we will show how to apply the framework to the evaluation of a contract that is inserted in the ...more »

Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment ( KVA ) – Part I
a cura di Antonio Castagna

Posted in: Articolo

Giu 22 2019
We extend the analysis we sketched in Castagna [4] and we provide an application of the framework we introduced to incrementally evaluate financial contracts within a financial institution’s balance sheet. 1  Introduction  In Castagna [4] we sketched a framework to evaluate a contract inserted within ...more »

The Revision to the CVA Capital Charge by the Basel Committee. Short Review and some critical Issues – Part II
di Michele Bonollo e Antonio Castagna

Posted in: Articolo

Gen 19 2016
Executive Summary: This is the second part of the discussion of the recent BCBS paper no.325 concerning a deep review to the CVA capital charge, that was introduced with the CRR (Basel 3) regulation. This revision aims to improve the CVA calculation with respect to ...more »

The Revision to the CVA Capital Charge by the Basel Committee. Short Review and some critical Issues – Part I
di Michele Bonollo e Antonio Castagna

Posted in: Articolo

Dic 16 2015
Executive Summary: With the recent BCBS paper no.325 a new consultative session started, concerning a deep review to the CVA capital charge, that was introduced with the CRR (Basel 3) regulation. This revision aims to improve the CVA calculation with respect to the forthcoming fundamental review ...more »

La Gestione Integrata del Collaterale. Verso un nuovo approccio organizzativo – Parte 2
di Antonio Castagna

Posted in: Articolo

Lug 14 2015
Introduzione In questo secondo di due articoli sulla moderna gestione del collaterale, ci soffermeremo su un quadro concettuale che definiamo come Gestione Integrata del Collaterale (GIC) e delle ricadute in ambito organizzativo e tecnologico all’interno della banca.  La Struttura della Gestione Integrata del Collaterale Gli ...more »

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La Gestione Integrata del Collaterale. Verso un nuovo approccio organizzativo – Parte 1
di Antonio Castagna

Posted in: Articolo

Lug 02 2015
Introduzione La moderna gestione del collaterale è molto complessa e si discosta molto dalla tradizionale attività a cui usualmente in banca veniva attribuito lo stesso nome. Cercheremo di dare una visione concisa, ma sufficientemente completa, della gestione del collaterale in una serie di due articoli. ...more »

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