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...

In this paper a particular multicriteria decision aid approach is used in order to evaluate the creditworthiness of a set of about 14,000 Italian firms viewed as potential applicants for bank loans in the 2006-2008 period. The methodology is able to consider simultaneously all factors affecting...

The Basel deadlines concerning the second pillar and the international crisis have emphasized the problem of a reliable measure of the credit concentration risk. Nevertheless, there is not yet a best practice and several approaches have been proposed. After a survey about the framework, the...

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...

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...

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...

Regulation has an economic impact on banks causing high costs bothdirect and deriving from the use of resources and operating structures, undermining their competitiviness. Alternative solutions, equally effective, are needed, to avoid conflict between firms, regulators and supervisors