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The Impact of the Sovereign Debt Crisis on the Activity of Italian Banks
Albertazzi, Ugo - 2012
We assess the effects of the sovereign debt crisis on Italian banks' activity using aggregate data on funding and loan rates, lending quantities and income statements for the period 1991-2011. We augment standard reduced-form equations for the variables of interest with the spread on 10-year...
Persistent link: https://www.econbiz.de/10013099517
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Stress Testing Credit Risk : A Survey of Authorities' Approaches
Foglia, Antonella - 2009
This paper reviews the quantitative methods used at selected central banks to stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank specific measures of credit risk (macro stress test). Stress testing credit risk is an essential...
Persistent link: https://www.econbiz.de/10013160243
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Euro Area (Cross-Border?) Banking
Bologna, Pierluigi - 2015
opportunities for flight-to-quality. During the crisis the structure of banks' international organization also mattered as banks …
Persistent link: https://www.econbiz.de/10013028302
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Euro Area (Cross-Border?) Banking
Bologna, Pierluigi - 2015
opportunities for flight-to-quality. During the crisis the structure of banks' international organization also mattered as banks …
Persistent link: https://www.econbiz.de/10013030227
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Measuring Sectoral/Geographic Concentration Risk
Tola, Vincenzo - 2010
This article focuses on the application of the Pykhtin model to the Italian banking system to measure concentration risk by industry sector and geographic region. The proposed approach generalizes the portfolio model used in Pillar 1 for the calculation of the capital requirement, removing the...
Persistent link: https://www.econbiz.de/10013135331
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Contingent Liquidity
Nicoletti-Altimari, Sergio - 2010
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...
Persistent link: https://www.econbiz.de/10013135336
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The Performance of the Italian Housing Market and its Effects on the Financial System
Panetta, Fabio - 2010
Developments in the real-estate sector are of crucial importance for the business cycle and financial stability. This study analyses developments in the Italian housing market on the basis of both real and financial variables. Following the sharp contraction of the market during the financial...
Persistent link: https://www.econbiz.de/10013136645
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The Impact of the Financial Crisis on Inter-Bank Funding : Evidence from Italian Balance Sheet Data
Cappelletti, Giuseppe - 2011
We analyze the impact of the financial crisis on the structure and the dynamics of the Italian inter-bank market, focusing on monthly banks' assets and liabilities data between January 2007 and December 2010. The analysis is developed using an ad hoc data-set based on supervisory reports. The...
Persistent link: https://www.econbiz.de/10013117772
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Macroeconomic Determinants of Bad Loans : Evidence from Italian Banks
Bofondi, Marcello - 2011
quality in Italy in the past twenty years, as measured by the ratio of new bad loans to the outstanding amount of loans in the … previous period. We analyse the quality of loans to households and firms separately on the grounds that macroeconomic variables … may affect these two classes of borrowers differently. According to our estimated models: i) the quality of lending to …
Persistent link: https://www.econbiz.de/10013124759
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The Macroeconomic Impact of Basel III on the Italian Economy
Locarno, Alberto - 2011
This paper provides an assessment of the costs of complying with Basel III for the Italian economy. The main findings are the following. For each percentage point increase in the capital ratio implemented over an eight-year horizon, the level of GDP would decline by 0.00-0.33% (0.03-0.39% if...
Persistent link: https://www.econbiz.de/10013124760