The COVID-19 pandemic has highlighted the importance of reliable statistical models which, based on the available data, can provide accurate forecasts and impact analysis of alternative policy measures. Here we propose Bayesian time dependent Poisson autoregressive models, that include time...

We proposes a two-layered tree network model that decomposes financial contagion into a global component, composed of inter-country contagion effects, and a local component, made up of inter-institutional contagion channels. The model is effectively applied to a database containing time series...

Peer-to-Peer (P2P) fintech platforms allow cost reduction and service improvement in credit lending. However, these improvements may come at the price of a worse credit risk measurement, and this can hamper lenders and endanger the stability of a financial system. We approach the problem of...

The paper proposes an explainable AI model that can be used in credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing credit scoring platforms. The model applies similarity networks to Shapley values, so that AI predictions are grouped...

ICOs are a new way for blockchain startups to finance project development by issuing coins or tokens in exchange for fiat money or Bitcoin or other cryptocurrencies. In this article, we start from the current distinction between different types of tokens and argue that it can create confusion...

We propose a novel systemic risk measurement model based on stochastic processes, correlation networks and conditional probabilities of default.For each country we consider three different economic sectors (sovereigns, corporates, banks) and we model each of them as a linear combination of two...

US corporate law and, in particular, Delaware law, which leaves ample room to freedom of contract, has been one of the reasons for the successful creation and financing of startups in Silicon Valley. We analyze the Italian attempt to modernize company law in order to promote startup creation...

We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...

The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements, frequent among crypto assets. To achieve this aim we consider both systemic and tail risks as additional constraints in Markowitz model. We apply the methodology to the...

Italian abstract: In questo articolo proponiamo un’interpretazione adeguatrice della disciplina della s.r.l., che tenga conto non solo e non tanto del fenomeno del finanziamento via crowdfunding, ma anche e soprattutto del finanziamento via business angels e venture capital. Avanziamo quindi...