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Identifying and tracking global, EU and Eurozone systemically important banks with public data
Masciantonio, Sergio - Banca d'Italia - 2013
This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data...
Persistent link: https://www.econbiz.de/10011099597
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An indicator of systemic liquidity risk in the Italian financial markets
Iachini, Eleonora; Nobili, Stefano - Banca d'Italia - 2014
This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to … reflect liquidity stress in specific market segments, are aggregated in the systemic liquidity risk indicator in the same way … as individual risks are aggregated in order to quantify overall portfolio risk. The aggregation takes account of the time …
Persistent link: https://www.econbiz.de/10011100385
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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 … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a �static� fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ï …
Persistent link: https://www.econbiz.de/10008677911
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Is there a role for funding in explaining recent US bank failures?
Bologna, Pierluigi - Banca d'Italia - 2011
This paper tests the role of different banks� liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks� probability of default. By...
Persistent link: https://www.econbiz.de/10009350682
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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
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EU bank deleveraging
Bologna, Pierluigi; Caccavaio, Marianna; Miglietta, Arianna - Banca d'Italia - 2014
We analyse the deleveraging process with reference to a sample of European banks from December 2011 to June 2013 and find that the leverage ratio (measured as assets to equity) has declined on average from 28.6 to 25.0. Its standard deviation fell from 8.2 to 6.5. About 2/3 of the deleveraging...
Persistent link: https://www.econbiz.de/10011100352
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Lessons learned from the financial crisis for financial stability and banking supervision
Vincenzo, Alessio De; Freni, Maria Alessandra; … - Banca d'Italia - 2010
strengthening the system and containing the risk of future financial and economic disruptions. Three ingredients are needed to … analysis must be improved to take full account of the different sources of systemic risk. Data coverage of the balance sheets … will result in more robust capital base, lower leverage, less cyclical capital rules and better control of liquidity risk …
Persistent link: https://www.econbiz.de/10008764794
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Countercyclical contingent capital (CCC): possible use and ideal design
Martino, Giuseppe De; Libertucci, Massimo; Marangoni, Mario - Banca d'Italia - 2010
Contingent capital � any debt instrument that converts into equity when a predefined event occurs � has received increasing attention as a viable tool for allowing banks to raise capital when needed at relatively more affordable prices than common equity. While the debate has focused...
Persistent link: https://www.econbiz.de/10008677915
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Connect them where it hurts. The missing piece of the puzzle
Esposito, Lorenzo - Banca d'Italia - 2013
The crisis has shown that banks that are too big to fail are at the core of the international financial system. These institutions are thus at the centre of a powerful wave of re-regulation of the banking system. Overall, the proposals developed to strengthen the capacity of big banks to weather...
Persistent link: https://www.econbiz.de/10011105112
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Extreme value theory for finance: a survey
Rocco, Marco - Banca d'Italia - 2011
this theory have been increasingly employed in finance, especially in the context of risk measurement. The aim of the … different distributional assumptions for the data, Value-at-Risk and Expected Shortfall calculations, asset allocation under …
Persistent link: https://www.econbiz.de/10009193022