The current financial crisis that threatens the entire world has created an ideal opportunity for educators. A number of important lessons can be learned from this financial meltdown. Some are technical and deal with the value of mathematical models and measuring risk. The most important lesson,...

This study investigates the dynamic behavior of the sovereign CDS term premium for a group of European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets in real time. Using a Markov-switching...

A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk mitigation for banks’ assets has led to the idea of...

This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...

We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The ob- tained time series are...

The crisis has produced its effects on households incomes and on their savings behaviour.The reduction in disposable income and savings is the cost that households pay to compensate delays in the adjustment of public finances and to support businesses investments. A detailed analysis on the...

La presente ricerca intende verificare l’evidenza empirica sul fenomeno generale di razionamento del credito nei mercati interbancari, ed investigare se vi siano effetti differenziali con riferimento all’attività delle banche minori. Le conclusioni di tale studio pongono in luce ulteriori...

After recalling the financial origin of the crisis and the persistent worldwide fragility of the financial sector, and after citing papers which before 2007 had pointed out the elements of systemic fragility of the US and world economy, the paper illustrates the cultural roots of the crisis,...

In the field of financial regulation, the approval of MiFid directive has been a relevant step in the management of conflict of interests. In the European context, the conflict of interest is an element of the exchange economy; the problem is to define, identify and manage pathological conflicts...

The recent ABI Report on the labour market in the financial industry shows that in Europe large banks have faced the need to cut the cost income ratio, aiming to reduce the branch network and distribution costs. In human resources management, the crisis has brought about a redefinition of...