More than three years since the outbreak of the sovereign debt crisis in the euro area the banking systems of several countries remain exposed to the vagaries of government bond markets. The paper analyzes the different channels through which sovereign risk affects banking risk (and vice versa),...

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov(2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...

The topic of financing long-term investment is on the top of the agenda of economic policy makers and it is among the priorities of the Italian Presidency of the European Union. The paper describes the main international initiatives in the field and highlights the three most promising courses of...

The paper describes the characteristics of the market for private placements and discusses the necessary conditions for their uptake in Europe. A private placement is a method of financing used mainly by medium-sized companies which, unable to access the public bond market, turn to one or more...

This paper summarizes the results attained by the Eurosystem in harmonizing the statistics used for the conduct of monetary policy. Since the creation of the euro area, in January 1999, significant progress has been made in the harmonization of data on banks’ balance sheets, central banks and...

Optimal Portfolio Theory prescribes that investors reduce their exposure to financial market risk as they get near to retirement. To assess the effect of ageing on portfolio choices, we study the case of an Italian defined contribution pension fund during the period 2002-08. We find that on...

Using a unique data set, this paper describes the main features of the venture capital industry in Italy. Operations by Italian specialised venture capitalists are only in part devoted to small, young firms from advanced industries, have a rather short duration and are weakly focused on a few...

The recent financial crisis has revived the debate on deposit insurance. Public awareness of its existence is essential in order to prevent a bank run. Analysing the results of three questions on this topic introduced in the last Survey on Household Income and Wealth, this paper investigates...

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...