Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Simonetta Iannotti"'
Publikováno v:
Applied Economics. 39:2503-2517
This article examines the velocity and asymmetry of the response of bank interest rates to monetary policy shocks. Using an asymmetric vector error correction model, it analyses the pass-through of changes in money market rates to retail bank interes
Autor:
Roberta Fiori, Simonetta Iannotti
Publikováno v:
The Journal of Risk. 9:63-99
Publikováno v:
Contributions to Economics ISBN: 9783790826227
This chapter analyzes the results of a business survey on the changes in the bank-firm relationship in view of Basel II carried out in 2006. A non-negligible share of firms was aware of the possible effects of the new regulation and some of them were
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b8eacff1663cf68f3bab2897616535c6
https://doi.org/10.1007/978-3-7908-2623-4_8
https://doi.org/10.1007/978-3-7908-2623-4_8
Autor:
Simonetta Iannotti, Roberta Fiori
The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::449f3e87f4a8b4f59eaf79fcbffb22fd
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2010/2010-0779/en_tema_779.pdf
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2010/2010-0779/en_tema_779.pdf
This paper shows the results of a survey on firms regarding the changes that are occurring in the bank-firm relationship in view of Basel II. The survey has been conducted on an national basis together with a local one directed to small firms localiz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52cc6105619cbae86cf8261e2128fc91
http://www.bancaditalia.it/pubblicazioni/qef/2007-0006/QEF_6.pdf
http://www.bancaditalia.it/pubblicazioni/qef/2007-0006/QEF_6.pdf
Autor:
Roberta Fiori, Simonetta Iannotti
The paper develops a Value-at-Risk methodology to assess Italian banks� interest rate risk exposure. By using 5 years of daily data, the exposure is evaluated through a Principal Component VaR based on Monte Carlo simulation according to two dif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ac79910cf265170f6dbc0e338d6d664
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2006/2006-0602/tema_602.pdf
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2006/2006-0602/tema_602.pdf
This paper examines the velocity and asymmetry in the response of bank interest rates to monetary policy shocks. Using an Asymmetric Vector Error Correction Model (AVECM), it analyses the pass-through of changes in the money market rates to retail ba
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::c641d1e98c31493ea3d2f410d533fd1e
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2005/2005-0566/tema_566.pdf
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2005/2005-0566/tema_566.pdf