To estimate the probability of default of companies and the correlated rating classes, it is necessary to use efficiently the information contained in different databases. In this respect, we propose a novel approach, based on the recursive usage of Bayes theorem, that can be very helpful in...

A comparative analysis of the advanced methodologies used by the banking industry for measuring the total economic capital underlines the superiority of the top-down technique based on Monte Carlo simulation and Gaussian copula.This model is particularly suited to consider the empirical...

The liquidity risk is one of the drivers of uncertainty in the banking activities. It could worsen the impact of shocks caused by market instability or temporary lack of customers’ confidence with possible serious consequences on the stability of financial intermediaries, as shown by the...

The recent international financial crisis has clearly outlined the need to integrate liquidity risk measurement with stress tests.The introduction of these practices is an important tool for liquidity risk management, for the correct determination of the liquidity buffer, for the development of...

The internal validation function of Cariparma-Crédit Agricole has developed a stress testing framework on Individuals, Solo Traders and Sme ratings, with the aim of testing the performance of internal ratings in the current economic downturn. After having verified – through a backtesting...

The development of a long lasting relationship between banks and firms requires greater cooperation between the two parties, which must be based on transparency, availability of the right quantitative and qualitative information, the correct and complete use of these information by banks, in...

The crisis has strongly influenced the funding policies in Italian banks, pushing them to raise their stock of time deposits, an attractive product for retail customers in terms of low issuer risk and no market risk

Establishing a European Banking Union offers clear opportunities: to break bank-fiscal interactions, national supervisory silos and home biases, to reduce fragmentation and improve single market, to stabilize the euro. Nonetheless it involves also risks related to the crisis management...

The proposal for a Directive and the related impact study presented by Ec in 2012 have the purpose to reorganize the financial systems crisis regulation, with particular emphasis on bank recovery and resolution. The new harmonized rules identify three groups of measures relating to prevention,...

Networks development and technological innovation are the challenges that the interbank payment system will face to ensure efficiency and reliability to the operations involving businesses, citizens and public administrations. In Italy, as part of efforts to implement the Digital Agenda, is...