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The pricing of government-guaranteed bank bonds
Levy, Aviram; Zaghini, Andrea - Banca d'Italia - 2010
We examine the effects of the government guarantee schemes for bank bonds adopted in the aftermath of the Lehman … the issuing bank or of the bond itself. …
Persistent link: https://www.econbiz.de/10008626021
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Balance-sheet ratios and stock returns: An analysis for Italian banks
Romagnoli, Angela - Banca d'Italia - 2007
The paper assesses whether the monthly returns of the listed shares of Italian banks are predicted by changes in balance-sheet indicators. The sample covers the period from January 1997 to June 2003. Estimates use both unadjusted and risk-adjusted returns. Results show that the stock returns of...
Persistent link: https://www.econbiz.de/10005609372
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Credit ratings in structured finance and the role of systemic risk
Violi, Roberto - Banca d'Italia - 2010
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10008677911
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Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure
Fiori, Roberta; Iannotti, Simonetta - Banca d'Italia - 2006
The paper develops a Value-at-Risk methodology to assess Italian banks� interest rate risk exposure. By using 5 years of daily data, the exposure is evaluated through a Principal Component VaR based on Monte Carlo simulation according to two different approaches (parametric and...
Persistent link: https://www.econbiz.de/10005113524
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The management of interest rate risk during the crisis: evidence from Italian banks
Esposito, Lucia; Nobili, Andrea; Ropele, Tiziano - Banca d'Italia - 2013
Changes in interest rates constitute a major source of risk for banks� business activity and can diversely affect their financial conditions and performance. We use a unique dataset to analyse Italian banks� exposure to interest rate risk during the crisis, relying on the standardized...
Persistent link: https://www.econbiz.de/10011099623
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The Probability Density Function of Interest Rates Implied in the Price of Options.
Fornari, F.; Violi, R. - Banca d'Italia - 1998
The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional … distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility …
Persistent link: https://www.econbiz.de/10005671394
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The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012
volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …
Persistent link: https://www.econbiz.de/10009645788
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Estimating expectations of shocks using option prices
Cesare, Antonio Di - Banca d'Italia - 2004
point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …
Persistent link: https://www.econbiz.de/10005609384
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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 banks� 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