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Is bank portfolio riskiness procyclical? : Evidence from Italy using a vector autoregression

Marcucci, Juri (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002846010

Stress-testing credit risk : the Italian experience

Laviola, Sebastiano; Marcucci, Juri; Quagliariello, Mario - In: Stress-testing the banking system : methodologies and …, (pp. 133-148). 2009

Persistent link: https://www.econbiz.de/10003906134

Asymmetric effects of the business cycle on bank credit risk

Marcucci, Juri; Quagliariello, Mario - In: Journal of banking & finance 33 (2009) 9, pp. 1624-1635

Persistent link: https://www.econbiz.de/10003872854

Stress testing credit risk : experience from the Italian FSAP

Laviola, Sebastiano; Marcucci, Juri; Quagliariello, Mario - In: Quarterly review / Banca Nazionale del Lavoro, Roma 59 (2006), pp. 269-291

Persistent link: https://www.econbiz.de/10003392965

Is bank portfolio riskiness procyclical? Evidence from Italy using a vector autoregression

Marcucci, Juri; Quagliariello, Mario - In: Journal of international financial markets, … 18 (2008) 1, pp. 46-63

Persistent link: https://www.econbiz.de/10003710306

Credit Risk and Business Cycle Over Different Regimes

Marcucci, Juri - 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 threshold regression models both at the aggregate and the...

Persistent link: https://www.econbiz.de/10012723726