Zobrazeno 1 - 10
of 52
pro vyhledávání: '"Andrea Resti"'
Publikováno v:
Risk Management Magazine, Vol 17, Iss 2, Pp 9-18 (2022)
As the financial services landscape witnesses an unprecedented change, banks can use machine learning (“ML”) to expand their databases through alternative sources providing unstructured and semi-structured information, such as transaction data an
Externí odkaz:
https://doaj.org/article/95b93deb04e94d3a8a9a671bff1f5827
Autor:
Andrea Resti, Andrea Sironi
La maggiore integrazione finanziaria, la convergenza tra i diversi modelli di intermediazione, gli schemi di vigilanza basati sull'adeguatezza patrimoniale e la maggiore mobilità/consapevolezza degli investitori hanno reso più significativa, per le
Publikováno v:
Oxford Scholarship
In this chapter, we summarize the main results of a recent empirical research concerning European banks. We first explore the main drivers of the differences in risk-weighted assets (RWAs) across a sample of fifty large European banking groups. We th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c12572026ccd11f285f5cf87cb2b178f
https://doi.org/10.1093/oso/9780198815815.003.0019
https://doi.org/10.1093/oso/9780198815815.003.0019
Autor:
Giovanni Petrella, Andrea Resti
Publikováno v:
SSRN Electronic Journal.
Based on a large and representative data set we investigate the liquidity of Eurozone government bonds in ordinary times as well as in periods of market turmoil looking at the behavior of several liquidity indicators from 2005 to 2012. We find that t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1b1679733073effd4c7ddcb5f8e6eb0
https://doi.org/10.2139/ssrn.2888396
https://doi.org/10.2139/ssrn.2888396
Autor:
Giovanni Petrella, Andrea Resti
The new rules on bank liquidity set by the Basel Committee require banks to hold high-quality liquid assets (HQLAs) against future cash outflows in periods of market stress. Domestic government bonds are considered to be HQLAs. To assess the appropri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::210fa1eaff398bff0b929007ef7ca3b7
http://hdl.handle.net/10807/90585
http://hdl.handle.net/10807/90585
Autor:
Andrea Resti, Giovanni Petrella
Publikováno v:
The Palgrave Handbook of European Banking ISBN: 9781137521439
This chapter provides an overview of European bank stress tests, one of the supervisory tools used to provide investors with in-depth information on the risks and profit drivers of big lenders. The authors review previous evidence on stress test exer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e7400eac84139927a3ae9d359dbfc3bc
http://hdl.handle.net/11565/3995773
http://hdl.handle.net/11565/3995773
Publikováno v:
Computational Statistics & Data Analysis. 52:68-87
Credit rating is the evaluation of the likelihood of an obligor to default on a loan. Each obligor in the bank’s credit portfolio is assigned to a certain rating class, or PD (probability of default) bucket; all obligors in a PD bucket then receive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69b1795dfd4c28a1654742175b3fc077
https://doi.org/10.1016/j.csda.2007.02.011
https://doi.org/10.1016/j.csda.2007.02.011
Autor:
Andrea Resti, Andrea Sironi
Publikováno v:
Journal of Financial Intermediation. 16:64-90
The Basel Committee designed a system of risk weights (“standardised approach”) to measure the riskiness of banks' loan portfolios. We investigate its ability to adequately reflect risk through an analysis of the economic capital implied in corpo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c551dbd6cc515b536fb3607031330e5
https://doi.org/10.1016/j.jfi.2006.04.002
https://doi.org/10.1016/j.jfi.2006.04.002
Autor:
Andrea Sironi, Andrea Resti
Publikováno v:
Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::208a658b09b5802ba33ca62049a44d29
https://doi.org/10.1002/9781118371886.ch19
https://doi.org/10.1002/9781118371886.ch19
Autor:
Andrea Sironi, Andrea Resti
Publikováno v:
Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ce145d841555252a4f098f09cd8a7b0a
https://doi.org/10.1002/9781118371886.ch18
https://doi.org/10.1002/9781118371886.ch18