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Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bianchi, Michele Leonardo - Banca d'Italia - 2014

In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it...

Persistent link: https://www.econbiz.de/10011099628

Bank risk and monetary policy

Altunbas, Yener; Gambacorta, Leonardo; David … - Banca d'Italia - 2009

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new … ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators …. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the …

Persistent link: https://www.econbiz.de/10004962187

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

Regulatory impact assessment at the Bank of Italy

Cannata, Francesco; Libertucci, Massimo; Piersante, … - Banca d'Italia - 2010

at the Bank of Italy, proving to be a useful tool not only to refine the rules being adopted, but also to strengthen the …

Persistent link: https://www.econbiz.de/10008764793

Italian mutual banks and the challenge of Basel III

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

banks are faced with the upcoming Basel III reform. Economic trends continue to exert pressure on the traditional bank …

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

Looking ahead to Basel 3: Italian banks on the move

Cannata, Francesco; Bevilacqua, Marco; Casellina, … - Banca d'Italia - 2013

In December 2010 the Basel Committee on Banking Supervision published a set of new regulations for banks in response to the financial crisis. This paper aims at evaluating the possible effects of the new framework on banksï¿½ available regulatory capital and risk-weighted assets and assessing...

Persistent link: https://www.econbiz.de/10011100377

The effects of Basel 2 on Italian banks: results of the 5th quantitative simulation

Cannata, Francesco - Banca d'Italia - 2006

In 2007 the new framework for capital adequacy of banks (Basel 2), defined in 2004 by the Basel Committee for Banking Supervision, will replace the 1988 Accord (Basel 1) in all major countries. In the last years the Committee has carried out several impact studies in order to simulate the...

Persistent link: https://www.econbiz.de/10005113685