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 new Basel 3 regulation will radically modify the functioning of banks, their relationship with the market and their profitability. The banks’ response to new and more stringent criteria must go through a redefinition of activities, a pricing review and a revision of operational processes...

Thirty years after the tragic death of Giorgio Ambrosoli, liquidator of Banca Privata Italiana of Michele Sindona, occurred on 11 July 1979, we pay tribute to the memory of a just and free man, an example of civil courage and commitment.

Under the Basel II advanced Irb (Internal Ratings Based) approach, banks are encouraged to provide internal estimates for all of the risky parameters determining the minimum regulatory capital. While the Pd and Lgd estimation issue has recently attracted a lot of attention by the credit risk...

We perform an empirical analysis to identify the main factors driving the liquidity of corporate and government bonds both in ordinary times and in times of market turmoil. Our findings highlight the importance of credit ratings, amount issued and bond duration as factors affecting bond...

The goal of this paper is to analyze the role that non-financial variables can play in assessing Smes creditworthiness and to compare their value in predicting business failure with the one of the most commonly used financial ratios. We investigate the importance for banks in modeling credit...

This paper analyzes the methods of rating attribution of the major international agencies (Moody’s, Fitch and Standard & Poor’s) between 2005 and 2010 for a sample of Italian and European listed banks and tests empirically, through the multivariate analysis of Ols, the possible relations of...