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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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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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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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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