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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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Financial innovation oversight: a policy framework
Carlo, Gola; Antonio, Ilari - Banca d'Italia - 2013
more stringent organizational solutions, which mainly include corporate governance and risk management. This also comprises … responsible risk culture, ethical standards, appropriate incentive structure, accountability, and internal controls, which are …
Persistent link: https://www.econbiz.de/10011099606
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The recent trends in long-term bank funding
Cardillo, Andrea; Zaghini, Andrea - Banca d'Italia - 2012
We assess the long-term funding conditions for banks in the US, the euro area and the UK and, separately, for the group of global systemically important financial institutions (G-SIFIs), over the period 1997-2011. After the outbreak of the subprime crisis there was a considerable reshuffling of...
Persistent link: https://www.econbiz.de/10011105125
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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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Tracking banks' systemic importance before and after the crisis
Alessandri, Piergiorgio; Masciantonio, Sergio; Zaghini, … - Banca d'Italia - 2015
We develop a methodology to identify and rank ‘systemically important financial institutions’ (SIFIs). Our approach is consistent with that followed by the Financial Stability Board but, unlike the latter, it is free of judgment and it is based entirely on publicly available data, thus...
Persistent link: https://www.econbiz.de/10011185853
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Bank bonds: size, systemic relevance and the sovereign
Zaghini, Andrea - Banca d'Italia - 2014
I analyze the risk premium on bank bonds at origination with special focus on the role of implicit and explicit public … explicit guarantees and sovereign creditworthiness have a substantial effect on the risk premium. In addition, while large …
Persistent link: https://www.econbiz.de/10011098940
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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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The pricing of government-guaranteed bank bonds
Levy, Aviram; Zaghini, Andrea - Banca d'Italia - 2010
reflect the characteristics of the guarantor (credit risk, size of rescue measures, timeliness of repayments) and not those of …
Persistent link: https://www.econbiz.de/10008626021
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What Caused the Asian Currency and Financial Crisis?
Corsetti, Giancarlo; Pesenti, Paolo; Roubini, Nouriel - Banca d'Italia - 1998
The paper explores the view that the Asian currency and financial crises in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even though market overreaction and herding caused the plunge of exchange rates, asset prices and economic activity to be more...
Persistent link: https://www.econbiz.de/10005111544