After the crisis, bank regulators are considering mitigating liquidity risk by introducing quantity limits on liquidity and maturity mismatch. We argue that aggregate liquidity risk can be reduced with little deadweight loss by encouraging banks, through adequate regulatory relief, to satisfy...

Many studies have questioned the reliability of banks' calculations of risk-weighted assets (RWA) for prudential purposes. The significant divergences found at international level are taken as indicating excessive subjectivity in the current rules governing banks' risk measurement and capital...

Since 1996 the Basel risk-weighting regime has been based on the distinction between the trading and the banking book. For a long time credit items have been weighted less strictly if held in the trading book, on the assumption that they are easy to hedge or sell. The Great Financial Crisis made...

Il Credito Cooperativo giunge alla sfida di Basilea 3 dopo un decennio di profonde trasformazioni, che hanno influito sulle politiche creditizie e sulle modalità di gestione dei rischi; i fattori congiunturali continuano a esercitare pressione sul modello di business tradizionale. La prossima...

In December 2010 the Basel Committee on Banking Supervision published a set of new regulations for banks in response to the financial crisis. This paper aims at evaluating the possible effects of the new framework on banks' available regulatory capital and risk-weighted assets and assessing...

In the post-crisis era banks' capital adequacy is established by the Basel III capital standards and, in many jurisdictions, also by supervisory stress tests. In this paper we first describe the ways in which supervisory stress tests can supplement the risk-based capital framework of Basel III...

In 2007 the new framework for capital adequacy of banks (Basel 2), defined in 2004 by the Basel Committee for Banking Supervision, will replace the 1988 Accord (Basel 1) in all major countries. In the last years the Committee has carried out several impact studies in order to simulate the...

Italian Abstract: Il lending-based crowdfunding (LBC) è un canale di finanziamento, alternativo rispetto a quello rappresentato dagli intermediari creditizi, per mezzo del quale famiglie e piccole imprese sono finanziate direttamente da una moltitudine di investitori. L'incontro tra domanda e...

Shadow banking is the creation or transfer – by banks and non-bank intermediaries – of bank-like risks outside the banking system. In Italy the shadow banking system is fully regulated, mostly following the principle of same business-same rules or ‘bank-equivalent regulation'. After an...

The paper investigates whether there is sufficient empirical support in Italy for the introduction of a sectoral countercyclical capital buffer (CCyB) in the macroprudential framework. We study the sectoral decomposition of the credit-to-GDP gap over the period 1990Q1-2017Q2. Overall, our...