We sketch a framework to theoretically identify the components of the value that a bank should attach to a deal and how to charge them to the relevant departments and/or to the final counterparty (client) by an internal transfer pricing system

We propose a justification of the current practice to charge funding costs in the price of the investments of a bank (and more generally of a firm) within the classical theory of the firm originated from the works by Modigliani and Miller and Merton

Collateral management will be a crucial activity in the financial industry. We introduce a framework to analyse the supply and the demand of collateral internally originated by the banking activity, the tools to manage both and the targets that should be aimed at

This paper presents a procedure for the modelling of net bank commissions (Non Interest Rate Income) as a function of macroeconomic variables. The methodology used to estimate the models is based on a Bayesian approach (BACE) method which provides the degree of relevance for each macroeconomic...

This paper presents an analysis of the new standards issued in April 2016 by the Basel Committee, on the measurement and the management of the IRRBB. We will investigate how the new rules will affect the processes currently run by banks and if they are consistent with sound financial pinciples

This paper presents an application of stochastic risk factor approach to model the non-maturing deposits and it sketches a benchmark framework to assess the related expected profitability and the liquidity and duration risks of a bank compared with the rest of the economic system it works...