Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Alberto Maria Sorrentino"'
Publikováno v:
Journal of Financial Services Research
We analyze the systemic risk of Italian banks with the ΔCoVaR from a bivariate normal GARCH model. The results show that it is a good measure of systemic risk and is applicable to the ranking of Italian other systemically important institutions. Usi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ae807c120c56fe1019cb6e0cb11ec3b
https://doi.org/10.1007/s10693-021-00366-9
https://doi.org/10.1007/s10693-021-00366-9
Publikováno v:
Computational Economics. 55:511-528
Recent literature has proposed a market-based measure to assess the contribution of a single bank to the systemic risk, i.e. the delta conditional value-at-risk ($$\Delta { CoVaR}$$). This measure could be useful to control the dynamics of systemic r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0e44372f13f4a38108a5c4d4e8fab115
https://doi.org/10.1007/s10614-019-09901-2
https://doi.org/10.1007/s10614-019-09901-2
Autor:
Roberto Felici, Alberto Maria Sorrentino, Giuseppe Cascarino, Matteo Accornero, Fabio Parlapiano
Publikováno v:
European Financial Management. 24:775-791
This paper outlines a framework based on microdata and a structural model to gauge credit risk in banks’ exposures to non-financial firms. Sectoral risk factors are accounted for using a multi-factor model. We use expected and unexpected losses as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::66a6b1895c15bba9e1daf6c826a0bcf1
https://doi.org/10.1111/eufm.12138
https://doi.org/10.1111/eufm.12138
Publikováno v:
SSRN Electronic Journal.
In this paper we describe an analytical framework to assess financial stability risks in the Italian economy. We use a large number of indicators, selected to take into account the peculiarities of the Italian economy, to monitor risks in seven areas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e2c1b260b43f488f145819ed3466b00
https://doi.org/10.2139/ssrn.3160804
https://doi.org/10.2139/ssrn.3160804
Publikováno v:
SSRN Electronic Journal.
We use an extensive loan-level dataset to study the influence of non-performing loans (NPLs) on the supply of bank credit to non-financial firms in Italy between 2008 and 2015. We use time-varying firm fixed effects to control for shifts in demand an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2c55b3324807a8dfd7cfc834afba6adf
https://doi.org/10.2139/ssrn.2954995
https://doi.org/10.2139/ssrn.2954995
Autor:
ALBERTO MARIA SORRENTINO
Publikováno v:
BANKPEDIA REVIEW. 4:7-12
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a6ae6a80b9e0c70aad2d700f26d2270
https://doi.org/10.14612/sorrentino_1_2014
https://doi.org/10.14612/sorrentino_1_2014
Publikováno v:
Economic Notes. 43:21-38
Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, interconnected financial institutions. In this paper, we estimate the systemic risk contribution of Italian-listed banks for t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c62cbbf71c8ab66c6671f205de065b5a
https://doi.org/10.1111/ecno.12015
https://doi.org/10.1111/ecno.12015
Publikováno v:
SSRN Electronic Journal.
Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, interconnected financial institutions. In this paper we estimate the systemic risk contribution of Italian listed banks for th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::405d96878f45c879840e55a2d40c0f32
https://doi.org/10.2139/ssrn.2557929
https://doi.org/10.2139/ssrn.2557929
Publikováno v:
SSRN Electronic Journal.
Systemic risk is the risk of a collapse of the entire financial system, typically triggered by the default of one, or more, large and interconnected financial institutions. In this paper we estimate the systemic risk contribution of each financial in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab70decebe2479b966c1d5bea5bddade
https://doi.org/10.2139/ssrn.2112919
https://doi.org/10.2139/ssrn.2112919