Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Mario Quagliariello"'
Publikováno v:
PSL Quarterly Review, Vol 59, Iss 238, Pp 269-291 (2006)
Article originally published in the volume 59 issue 238 of Banca Nazionale del Lavoro Quarterly Review (also known as BNL Quarterly Review).
Externí odkaz:
https://doaj.org/article/7bbcb9e892304857a809b15716362d79
Publikováno v:
PSL Quarterly Review, Vol 59, Iss 238 (2012)
In this paper we describe the methodologies that can be used for stress testing credit risk providing some applications to the Italian banking system.Within the FSAP for Italy, stress tests examined the impact of a variety of shocks on the nine major
Externí odkaz:
https://doaj.org/article/564ebd94ca91435c89e02cc766822ae5
Autor:
Mario Quagliariello
Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in str
Publikováno v:
SSRN Electronic Journal.
Stress tests have become a key tool for banks, supervisors and macro prudential authorities. An aspect of these exercises is the need for statistical models to obtain risk measurements under an adverse scenario and a fundamental question is who shoul
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1025c13c7f14b45e002df2300bdf8d9b
https://doi.org/10.2139/ssrn.3523188
https://doi.org/10.2139/ssrn.3523188
Publikováno v:
SSRN Electronic Journal.
The Pre-Commitment Approach (PCA) to capital requirements was developed and promoted by the US Federal Reserve in the 1990s. The proposal was conceived as an alternative to the market-risk capital requirements based on internal models then under disc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::41e297177dc22d97a97214a594b419ee
https://doi.org/10.2139/ssrn.3749469
https://doi.org/10.2139/ssrn.3749469
Autor:
Mario Quagliariello
Publikováno v:
SSRN Electronic Journal.
There is increasing debate on whether official-sector stress tests are fit for purpose and deliver what they are designed for. In the EU, this discussion focuses on the costs and benefits of such a large-scale bottom-up exercise and on the possible o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::21e0beb5970869b9effba0d386cb973e
https://doi.org/10.2139/ssrn.3427389
https://doi.org/10.2139/ssrn.3427389
Publikováno v:
Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d648bfcf86feef274eb6ad21eadca938
https://doi.org/10.1002/9781118266588.ch46
https://doi.org/10.1002/9781118266588.ch46
Autor:
Juri Marcucci, Mario Quagliariello
Publikováno v:
Journal of Banking & Finance. 33:1624-1635
Prior empirical research on the relation between credit risk and the business cycle has failed to properly investigate the presence of asymmetric effects. To fill this gap, we examine this relation both at the aggregate and the bank level exploiting
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76f422812d508a072f958e6565a6e6db
https://doi.org/10.1016/j.jbankfin.2009.03.010
https://doi.org/10.1016/j.jbankfin.2009.03.010
Autor:
Mario Quagliariello
Publikováno v:
Applied Economics
Applied Economics, Taylor & Francis (Routledge), 2009, 41 (03), pp.323-336. ⟨10.1080/00036840601007286⟩
Applied Economics, Taylor & Francis (Routledge), 2009, 41 (03), pp.323-336. ⟨10.1080/00036840601007286⟩
International audience; This paper discusses the role that macroeconomic uncertainty plays in banks' decisions on the optimal asset allocation. Following the portfolio model proposed by Baum et al. (2005), the paper aims at disentangling how Italian
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39c766beda89bee42edd4dc1dfb949ee
https://doi.org/10.1080/00036840601007286
https://doi.org/10.1080/00036840601007286
Autor:
Mario Quagliariello
Publikováno v:
Journal of Banking Regulation. 9:102-115
This paper provides a selected review of a large number of empirical studies on the relationship between business cycle and bank stability, both from a micro and an aggregate perspective. While not exhaustive, it tries to identify the common patterns
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3bbab1ccfc364d558de6d2d341f0c559
https://doi.org/10.1057/jbr.2008.4
https://doi.org/10.1057/jbr.2008.4