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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
Many studies have questioned the reliability of banks� calculations of risk-weighted assets (RWA) for prudential purposes. The significant divergences found at international level are taken as indicating excessive subjectivity in the current rules governing banks� risk measurement and...
Persistent link: https://www.econbiz.de/10011100415
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The Italian banking system in Europe : Italian Bankers' Association, Annual Meeting, Rome, 24 June 1998
Fazio, Antonio G. - 1998
Persistent link: https://www.econbiz.de/10000989452
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Bank Capital and Lending Behaviour: Empirical Evidence for Italy
Gambacorta, Leonardo; Mistrulli, Paolo Emilio - Banca d'Italia - 2003
GDP shocks owing to a different degree of bank capitalization. The effects on lending of shocks to bank capital that are … effects of the "bank lending channel" from those of the "bank capital channel" in the case of a monetary shock; it also … provides an explanation for asymmetric effects of GDP shocks on lending based on the link between bank capital and risk …
Persistent link: https://www.econbiz.de/10005467288
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An assessment of financial sector rescue programmes
Panetta, Fabio; Faeh, Thomas; Grande, Giuseppe; Ho, Corrinne - 2009
Persistent link: https://www.econbiz.de/10013437456
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The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"
Socio, Antonio De - Banca d'Italia - 2011
After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a �lemons market� or to ask for liquidity �on tap� from central banks. This...
Persistent link: https://www.econbiz.de/10009320176
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On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach
Fiori, Roberta; Iannotti, Simonetta - Banca d'Italia - 2010
The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...
Persistent link: https://www.econbiz.de/10008692068
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An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
Cesare, Antonio Di; Guazzarotti, Giovanni - Banca d'Italia - 2010
This paper analyzes the determinants of credit default swap spread changes for a large sample of US non-financial companies over the period between January 2002 and March 2009. In our analysis we use variables that the literature has found have an impact on CDS spreads and, in order to account...
Persistent link: https://www.econbiz.de/10008626020
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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
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Credit risk and business cycle over different regimes
Marcucci, Juri; Quagliariello, Mario - Banca d'Italia - 2008
threshold regression models both at the aggregate and the bank level and exploiting a unique dataset on Italian bank borrowersï …
Persistent link: https://www.econbiz.de/10005609366