The purpose of the transparency on the risk profile of non-equity investment products is to allow investors to take informed investment decisions. In an international framework characterized by an increasing globalization of markets and a growing integration of banking, asset management and...

In this paper a particular multicriteria decision aid approach is used in order to evaluate the creditworthiness of a set of about 14,000 Italian firms viewed as potential applicants for bank loans in the 2006-2008 period. The methodology is able to consider simultaneously all factors affecting...

In this paper, a continuous-time, structural model of a dealer-bank is presented to derive fair value equations for credit-risky financial products that are not perfectly hedged. The impact these contracts have on the dealer-bank's earnings volatility, and consequently, their solvency and...

Algorithmic Differentiation (AD), also known as automatic differentiation, computes the derivative(s) of computer code. It was pioneered by (Giles and Glasserman, 2006) and produces exact derivatives with low latency. AD is well presented in finance, see (Capriotti, 2010), (NAG, n.d.) and...

We present Algorithmic Adjoint Differentiation (AAD), also known as Automatic Adjoint Differentiation, which computes the derivative(s) of computer code. In finance this leads to a relatively new and novel approach, pioneered by (Giles and Glasserman, 2006), to compute financial risks. When...

This article maintains that the annual percentage rate (APR) is not an adequate measure of the cost of a consumer loan and therefore the central role of APR in consumer credit legislation should end. For decades, researchers, consumer groups and financial institutions have argued for simpler...

Most people have consumer loans during their lives, making it important that consumer credit legislation is effective. Legislation in many countries is based on the US Truth-in-Lending Act (TILA). Conventional financial analysis underlying the TILA argues the annual percentage rate (APR) is the...

This document provides a summary of the more detailed cross pricing paper, see "https://ssrn.com/abstract=3278907" https://ssrn.com/abstract=3278907.We present a PowerPoint overview of cross currency swaps (Xccy Swaps) and the pricing formula as seen from a trading perspective. Firstly we...

Risks associated to maximum drawdown have been recently formalized as the tail mean of the maximum drawdown distribution, called Conditional Expected Drawdown (CED). In fact, the special case of average maximum drawdown is widely used in the fund management industry also in association to...