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...

In this paper the authors argue that a plausible reason why output and other major U.S. macroeconomic time series seem to follow a Markov switching process might be strictly related to expectations. The authors show that a time series of expectations of future output from the Survey of...

La psicologia mostra che la probabilità soggettiva associata ad eventi economici futuri viene distorta in modo sistematico, rispetto a quella oggettiva, da elementi psicologici diffusi e persistenti. Lo stesso vale per l'interpretazione retrospettiva dei fatti economici. In particolare, si...