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The macroeconomic impact of Basel III on the Italian economy
Locarno, Alberto - Banca d'Italia - 2011
rationing is considered as well). Compliance with the new liquidity standards causes an additional slowdown of annual GDP growth … capital standards are even lower, slightly less than 0.2%; those needed to comply with the target liquidity ratio are of a …
Persistent link: https://www.econbiz.de/10008873302
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Extreme value theory for finance: a survey
Rocco, Marco - Banca d'Italia - 2011
Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say events which are rare in frequency and huge with respect to the majority of observations. Statistical methods derived from this theory have been increasingly employed in finance,...
Persistent link: https://www.econbiz.de/10009193022
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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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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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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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Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns
Mistrulli, Paolo Emilio - Banca d'Italia - 2007
Interbank markets allow banks to cope with specific liquidity shocks. At the same time, they may be a channel allowing …
Persistent link: https://www.econbiz.de/10005467292
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The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"
Socio, Antonio De - Banca d'Italia - 2011
toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a �lemons market� or to ask for liquidity ï … and liquidity risk and then evaluates the decomposition. The main finding is that credit risk increased before the key … events of the crisis, while liquidity risk was mainly responsible for the subsequent increases in the Euribor spread and then …
Persistent link: https://www.econbiz.de/10009320176
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On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach
Fiori, Roberta; Iannotti, Simonetta - Banca d'Italia - 2010
The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...
Persistent link: https://www.econbiz.de/10008692068
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Dynamic provisioning: rationale, functioning, and prudential treatment
Burroni, Marco; Quagliariello, Mario; Sabatini, Emiliano; … - Banca d'Italia - 2009
Current policy debate has renewed interest in countercyclical provisioning policies; dynamic provisions are regarded as a valuable device for pursuing this goal. Last July, Ecofin supported "the introduction of forward-looking provisioning, which consists in constituting provisions deducted from...
Persistent link: https://www.econbiz.de/10008472087
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Credit risk and business cycle over different regimes
Marcucci, Juri; Quagliariello, Mario - Banca d'Italia - 2008
In the recent banking literature on the relationship between credit risk and the business cycle, the presence of asymmetric effects both across credit risk regimes and through the business cycle has been generally neglected. Employing threshold regression models both at the aggregate and the...
Persistent link: https://www.econbiz.de/10005609366