We experimentally investigate the scaling probability distributions of various intrachain distances of granular chains in two-dimensional static packing, the chain length of which ranges from N=64 to 2048. With the scaling method proposed in the polymer theory, the scaled data from granular...

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

I explore investors’ welfare losses when they restrict themselves to invest in either stocks only or bonds only, but not in both. The restriction gives investors sub-optimal asset allocations that result in welfare losses. To measure these welfare losses I compare “only stock indices and...

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...

The main objective of this paper is to quantify the relationship between the global economic environment and the number of Stand-By Arrangements (SBAs). The results suggest that oil prices, world interest rates, and the global business cycle are the most influential indicators that affect the...

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...

This paper provides the first empirical analysis of the cross-country relationship between a direct measure of competitive conduct of financial institutions and banking system fragility. Using the Panzar and Rosse H-Statistic as a measure for competition in 38 countries during 1980-2003, we...