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...

Abstract We design a discrete time arbitrage-free model under incomplete information for application to credit risk models in the spirit of Duffie and Lando (2001). We assume a fundamental value process evolving according to a complete market model and a sequence of imperfect signals conveying...

We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to...