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 ...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 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 ...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 ...more »