Publications

EBA, 2019, KeynoteLecture,Dermine

EBA Action plan on sustainable finance

Joint final draft RTS on various amendments to the bilateral margin requirements in view of the international framework

Joint statement on introduction of fallbacks in OTC derivative contracts and the requirement to exchange collateral

Bank of England working paper introducing a model to simulate stress scenarios in the UK’s market-based finance system, focusing on interactions among broker-dealers, banks, investment funds, and insurers under solvency and liquidity constraints to assess systemic risk and fire-sale dynamics.

EBA-aligned research paper introducing Deep-Stress, a deep learning framework for dynamic balance sheet stress testing, improving Capital Adequacy Ratio forecasting accuracy by capturing non-linear macro-financial relationships and enhancing early warning systems for banking resilience.

EBA-linked paper explores applying the Pre-Commitment Approach (PCA) to bottom-up bank stress tests to mitigate moral hazard, proposing monetary penalties for underestimated risk forecasts under adverse scenarios, aligning bank and supervisor incentives.

Study assessing the severity of EBA 2016 and 2018 macroeconomic stress test scenarios for Italy using a joint probability approach, revealing low likelihood (0.15%–0.50%) and identifying key variables through reverse stress tests under Prometeia’s macro-econometric model.

EBA-aligned study proposing a model-based approach to assess stress test scenario severity and Italian banks' resilience using Bayesian VAR, analyzing GDP, market rates, and credit impact from 2014–2018 exercises to evaluate macro-financial spillovers and risk management improvements.