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The effects of Basel 2 on Italian banks: results of the 5th quantitative simulation
Cannata, Francesco - Banca d'Italia - 2006
In 2007 the new framework for capital adequacy of banks (Basel 2), defined in 2004 by the Basel Committee for Banking Supervision, will replace the 1988 Accord (Basel 1) in all major countries. In the last years the Committee has carried out several impact studies in order to simulate the...
Persistent link: https://www.econbiz.de/10005113685
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Is there a role for funding in explaining recent US bank failures?
Bologna, Pierluigi - Banca d'Italia - 2011
This paper tests the role of different banks� liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks� probability of default. By...
Persistent link: https://www.econbiz.de/10009350682
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Identifying and tracking global, EU and Eurozone systemically important banks with public data
Masciantonio, Sergio - Banca d'Italia - 2013
This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data...
Persistent link: https://www.econbiz.de/10011099597
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The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee
Moscadelli, Marco - Banca d'Italia - 2004
The revised Basel Capital Accord requires banks to meet a capital requirement for operational risk as part of an … overall risk-based capital framework. Three distinct options for calculating operational risk charges are proposed (Basic … Approach, Standardised Approach, Advanced Measurement Approaches), reflecting increasing levels of risk sensitivity. Since 2001 …
Persistent link: https://www.econbiz.de/10005467320
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Extreme value theory for finance: a survey
Rocco, Marco - Banca d'Italia - 2011
this theory have been increasingly employed in finance, especially in the context of risk measurement. The aim of the …Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say … present study is twofold. The first part delivers a critical review of the theoretical underpinnings of extreme value theory …
Persistent link: https://www.econbiz.de/10009193022
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Are Banks Risk-Averse? A Note on the Timing of Operations in the Interbank Market.
Angelini, P. - Banca d'Italia - 1996
The paper presents a simple theory of intraday behavior in the interbank market. …
Persistent link: https://www.econbiz.de/10005780675
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Background UNcertainty and the Demand for Insurance Against Insurable Risks.
Guiso, L.; Jappelli, T. - Banca d'Italia - 1996
Theory suggests that people facing higher uninsurable background risk buy more insurance against other risks that are …
Persistent link: https://www.econbiz.de/10005671377
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Money and uncertainty : inflation, interest, indexation ; Banca d'Italia, Roma, 6 novembre 1992
Drèze, Jacques H. - 1993
Persistent link: https://www.econbiz.de/10000877254
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Islamic finance and conventional financial systems. Market trends, supervisory perspectives and implications for central banking activity
Gomel, Giorgio; Cicogna, Angelo; Falco, Domenico De; … - Banca d'Italia - 2010
The paper analyses Islamic finance from the central bank and supervisory authority�s perspective, focusing on the European and Italian context. It depicts a rapidly expanding sector, with recent annual growth rates of between 10 and 15 percent and a geographical presence that now reaches...
Persistent link: https://www.econbiz.de/10008692071
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Heterogenous firms and credit frictions: a general equilibrium analysis of market entry decisions
Formai, Sara - Banca d'Italia - 2013
This paper develops a general equilibrium model of international trade with heterogeneous firms and imperfect credit markets. To finance the costs for product innovation and domestic and foreign market entry, firms must raise external capital. The model underscores the importance of considering...
Persistent link: https://www.econbiz.de/10011099621