Journal of
Italian
Banking
Association

year 100
 

Forum | Papers

Forum | Papers

Stress testing: a stochastic simulation model and a comparison with 2014 Eba/Ecb exercise

N. 2 - 2015
Giuseppe Montesi, Pasquale Nicastro, Giovanni Papiro
We present a multivariate stochastic model for bank stress testing and its application to the nine European banking groups of systemic importance, comparing the results to the Eba/Ecb 2014 ...
This is a study about the relationship between media sentiment and US stock market. The database is made of 7,132 news published by the WSJ in the period 11/2011-02/2013
This paper investigates the portfolio quality of Italian supervised Mutual guarantee credit institutions in 2011-2012 by analysing the relationship between non-performing ratios, size, performance ...

From Risk Self Assessment to Operational Value-at-Risk estimation: a methodological proposal

N. 11 - 2014
Simona Cosma, Luigi Dell’Anna, Gianfausto Salvadori
Although there is by now extensive literature that sees the core function of banks in terms of liquidity creation, very few contributions propose measures of it. This paper aims to construct an indicator ...
This paper analyzes how financial knowledge and income can be considered as indicators to avoid situations of financial stress. The hypothesis of the work is that financial literacy has a limited ...

Financial institutions regulation and systematic risk

N. 9 - 2014
Giuliano Iannotta, George Pennacchi
Does a regulation based on credit ratings create an incentive to make loans and invest in bonds that have relatively high systematic risk? Using an international sample of almost 4,000 bonds ...

The determinants of Mergers and Acquisitions in Italian banks

N. 7/8 - 2014
Elena Beccalli, Francesca Lenoci
During the crisis the financial system experienced a concentration process driven by new M&A released by both big and medium banks. The article evaluates the role of banking features and regulatory framework in ...
Index-linked bonds are structured products whose returns depend on performance of one or more financial indexes. They can be seen as the sum of a bond and an option (derivative component)

A broader indicator of credit risk in Italian banks, based on total non-performing loans flow

N. 5 - 2014
Vincenzo Chiorazzo, Francesco Masala, Pierluigi Morelli
This paper contributes to the literature on bank risk with a cross-sectional analysis of the bank-specific determinants of risk using a new indicator calculated for a sample of 38 Italian banks in the period 2006-2012...

Italian listed banks and compliance with Corporate Governance Code

N. 4 - 2014
Maria Luisa Di Battista, Paola Schwizer, Valeria Stefanelli
The paper aims to evaluate the quality of the corporate governance information published by Italian listed banks in the period 2010-2012. The results may interest banks, regulators and supervisors to highlight possible areas...
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