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Macroeconomic uncertainty and banks' lending decisions: The case of Italy

Quagliariello, Mario - Banca d'Italia - 2007

This paper discusses the role that macroeconomic uncertainty plays in banksï¿½ decisions on the optimal asset allocation. Using a portfolio model recently proposed in the literature, the paper aims at disentangling how Italian banks choose between loans and risk-free assets when uncertainty...

Persistent link: https://www.econbiz.de/10005609339

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

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

Value Theory in representing the highest percentiles of the data sets: the exercise shows that the extreme value model, in …

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

Externalities in interbank network: results from a dynamic simulation model

Manna, Michele; Schiavone, Alessandro - Banca d'Italia - 2012

In this paper we conduct a simulation run on a sample of Italian banks where a trigger shock, a one-off event fairly large in size, spreads through the interbank network in a set-up featuring among the actors both commercial banks and the authorities. The banks deleverage to comply with a...

Persistent link: https://www.econbiz.de/10011099690

Sharing information on lending decisions: an empirical assessment

Albertazzi, Ugo; Bottero, Margherita; Sene, Gabriele - Banca d'Italia - 2014

advantage of the fact that Italyï¿½s Central Credit Register discloses such information. The results show that disclosing …

Persistent link: https://www.econbiz.de/10011099711

EU bank deleveraging

Bologna, Pierluigi; Caccavaio, Marianna; Miglietta, Arianna - Banca d'Italia - 2014

We analyse the deleveraging process with reference to a sample of European banks from December 2011 to June 2013 and find that the leverage ratio (measured as assets to equity) has declined on average from 28.6 to 25.0. Its standard deviation fell from 8.2 to 6.5. About 2/3 of the deleveraging...

Persistent link: https://www.econbiz.de/10011100352

Italian mutual banks and the challenge of Basel III

Cannata, Francesco; Giorgio Dï¿½Acunto; Allegri, … - Banca d'Italia - 2013

increasing credit risk in the balance sheets might pose a problem in the future; on the other hand, a more efficient allocation …

Persistent link: https://www.econbiz.de/10011100363