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Inside the labyrinth of Basel risk-weighted assets: how not to get lost

cannata, Francesco; Casellina, Simone; Guidi, Gregorio - Banca d'Italia - 2012

more detailed it needs to be supplemented by other indicators. Focusing on credit risk, we propose an analytical …

Persistent link: https://www.econbiz.de/10011100415

Credit risk and business cycle over different regimes

Marcucci, Juri; Quagliariello, Mario - Banca d'Italia - 2008

In the recent banking literature on the relationship between credit risk and the business cycle, the presence of … asymmetric effects both across credit risk regimes and through the business cycle has been generally neglected. Employing …, determining the thresholds endogenously. Our results show that not only are the effects of the business cycle on credit risk more …

Persistent link: https://www.econbiz.de/10005609366

Dynamic provisioning: rationale, functioning, and prudential treatment

Burroni, Marco; Quagliariello, Mario; Sabatini, Emiliano; … - Banca d'Italia - 2009

Current policy debate has renewed interest in countercyclical provisioning policies; dynamic provisions are regarded as a valuable device for pursuing this goal. Last July, Ecofin supported "the introduction of forward-looking provisioning, which consists in constituting provisions deducted from...

Persistent link: https://www.econbiz.de/10008472087

The pricing of government-guaranteed bank bonds

Levy, Aviram; Zaghini, Andrea - Banca d'Italia - 2010

reflect the characteristics of the guarantor (credit risk, size of rescue measures, timeliness of repayments) and not those of …

Persistent link: https://www.econbiz.de/10008626021

Credit ratings in structured finance and the role of systemic risk

Violi, Roberto - Banca d'Italia - 2010

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues …

Persistent link: https://www.econbiz.de/10008677911

Risk measures for autocorrelated hedge fund returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Banca d'Italia - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov(2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...

Persistent link: https://www.econbiz.de/10009364554

Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns

Mistrulli, Paolo Emilio - Banca d'Italia - 2007

Interbank markets allow banks to cope with specific liquidity shocks. At the same time, they may be a channel allowing a bank default to spread to other banks. This paper analyzes how contagion propagates within the Italian interbank market using a unique data set including actual bilateral...

Persistent link: https://www.econbiz.de/10005467292

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...

Persistent link: https://www.econbiz.de/10005467320

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

Start-up banksï¿½ default and the role of capital

Libertucci, Massimo; Piersante, Francesco - Banca d'Italia - 2012

Regulation requires banks to hold a minimum capital endowment upon their establishment. But what role does initial capital play in a bankï¿½s lifecycle? This paper addresses the issue for start-up banks. We use both survival-time and binary choice models for a sample of newly-established...

Persistent link: https://www.econbiz.de/10011099634