Albanese: crushing capital costs

Having tackled FVA, Claudio Albanese is now focused on capital optimisation

Claudio Albanese

Banks have overestimated the costs in their uncollateralised derivatives positions by billions of dollars, and the subsequent write-offs should have gone through capital and not earnings – this was the conclusion of a controversial paper written by two quants earlier this year (Risk February 2015).

But when London-based Claudio Albanese, chief executive officer of analytics vendor Global Valuation, set out to write the paper with colleague Stefano Iabichino and Leif Andersen, of Bank of America

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