Albanese: crushing capital costs

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

claudio-albanese-2015
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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