We develop a banks' specific integrated rating approach, tailored incorporating the various heterogeneity dimensions characterizing financial institutions (see Mantovani et al., 2013 and 2014 regarding the heterogeneity risk analysis in corporate firms), named “bank tailored integrated...

The purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named "Bank-Tailored Integrated Rating" (BTIR). BTIR is able to catch the financial cycle, including the pandemic...

Firms may have gender differences in governance characteristics, which may lead to differences in the firms' performances themselves, and consequently in the way credit is allocated. The paper demonstrates that there are differences in governance characteristics and, most important, there is a...

Several studies investigated the predictability of financial distress. With this paper, we analyse the ability of Integrated Rating model to anticipate potential corporate crisis. In particular, we study bankrupt companies of four European Countries (Czech Republic, Spain, Italy, France,...

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is...

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk...

We study versions of a general equilibrium banking model with moral hazard under either constant or increasing returns to scale of the intermediation technology used by banks to screen and/or monitor borrowers. If the intermediation technology exhibits increasing returns to scale, or it is...