We propose a new model for the aggregation of risks that is very flexible and useful in high dimensional problems. We propose a copula-based model that is both hierarchical and hybrid (HYC for short), because: (i) the dependence structure is modeled as a hierarchical copula, (ii) it unifies the...

Abstract We propose a model for the computation of the loss probability distribution allowing to take into account the not-exchangeable behavior of a portfolio clustered into several classes of homogeneous loans. These classes are classified as `large' or `small' depending on their cardinality....

The Banking Union aims to design a single banking supervision mechanism to prevent banking crises or, when a crisis occurs, to avoid it becomes systemic. The pillars of the Banking Union are: a single rulebook for financial institutions in the European market, the strengthening of deposit...

The European proposals to reform the banking sector, separating investment and commercial banking activities, are likely to negatively affect banks' profitability, as well as their capacity to support the economy. A reform certainly seems unavoidable but, with regard to Italian banks, it must...