RICERCA ITALIANA     

Programmi di ricerca simili:

• 1 - Modelli per la valutazione del rischio ai fini della solvibilità in ambito assicurativo e previdenziale.
• 2 - L'impatto dell'invecchiamento della popolazione su mercati finanziari, intermediari e stabilità finanziaria
• 3 - L’importanza delle imperfezioni nei mercati finanziari per la stabilità, la crescita e le politiche economiche.
• 4 - La protezione del reddito contro i rischi "longevità" e "salute": analisi attuariale, finanziaria ed economica dei benefici pensionistici e previdenziali. Evoluzione e prospettive del mercato.
• 5 - Misurazione del rischio di credito
• 6 - Valutazioni nelle assicurazioni vita e nel settore previdenziale: metodologie attuariali, economiche e finanziarie
• 7 - Asimmetrie informative, rischio sistemico e fragilità nei mercati e nelle reti finanziarie
• 8 - Analisi econometrica dell'interdipendenza, stabilizzazione e contagio nei mercati reali e finanziari
• 9 - GESTIONE DEL RISCHIO OPERATIVO E RESILIENZA DEI SISTEMI INDUSTRIALI E DI SERVIZIO (RISKOPRE)

Classificazione scientifico-disciplinare

• Area scientifico disciplinare: Scienze economiche e statistiche
  • ECONOMIA POLITICA
  • ECONOMETRIA
  • ECONOMIA DEGLI INTERMEDIARI FINANZIARI
  • METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE

Classificazione geografica

• Regione: Emilia Romagna

Bibliografia

Allen, L., Saunders, A., 2004. Incorporating systemic influences into risk measurements: a survey of the literature, J.of Fin.Services Research, forthcoming
Artis, M., Birchenhall, C., Osborn, D., Sensier, M., 2004. Domestic and international influences on business cycle regimes in Europe. Int.J.of Forecasting 20 (2), 343-357.
Artzner, P., F.Delbaen, J.-M.Eber and D.Heath,1999. Coherent measures of risk. Math. Finance 9(3), 203-228
Ayuso, J., Perez, D., Saurina, J., 2004. Are capital buffers pro-cyclical? Evidence from Spanish panel data, J.of Fin.Intermediation, 13(2), 249—264
Basak,S. , A.Shapiro, 2001. Value-at-Risk based Risk Management Optimal Policies and Asset Prices, Rev. of Fin.Studies, 371-405
BCBS, 2004. International convergence of capital measurement and capital standards: A revised framework, BIS, June
Bikker, J., Metzemakers, P., 2004. Bank provisioning behaviour and procyclicality, J.of Int.Fin.Markets, Institutions & Money, forth.
Black, F., E.Derman and W.Toy, 1990 . A one-factor model of interest rates and its application to Treasury bond options. Financial Analysts J., 33-39
Borio, C., 2003. Towards a macroprudential framework for financial supervision and regulation? BIS WP 128
Borio, C., Furfine, C., Lowe, P., 2001. Procyclicality of the financial system and financial stability: issues and policy options, BIS Paper 1, 1-57
Borio, C., Lowe, P., 2004. Securing sustainable price stability: should credit come back from wilderness?, ECB Workshop on Asset prices and monetary policy, Frankfurt
Catarineu-Rabell, E., Jackson, P., Tsomocos, D., 2005. Procyclicality and the new Basel Accord – banks’ choice of loan rating system. Econ. Theory, 26, 537-557
Cherubini U., 1997. Fuzzy Measures and Asset Prices: Accounting for Information Ambiguity, App. Math. Finance , 4, 135-49
Cherubini, U., E.Luciano and W.Vecchiato.2004. Copula Methods in Finance. Wiley & Sons
Cifuentes, R., Ferrucci, G., Shin, H.S., 2004. Liquidity risk and contagion, paper presented at the BIS workshop on Accounting, Transparency and Bank Stability, Basel
Cossin, D, H.Pirotte, 2001. Advanced Credit Risk Analysis. Wiley & Sons
Decamps, J.-P., Rochet J.-C., Benoît, R., 2004. The three pillars of Basel II: optimizing the mix. J.of Fin.Intermediation, 13(2), 132-155
Dempster, M.A.H. (ed.) 2002. Risk management: value at risk and beyond. Cambridge: Cambridge University Press
Dewatripont, M., Tirole, J., 1994. The prudential regulation of banks, MIT Press
Diamond, D.W., Rajan, R.G., 2001, Liquidity risk, liquidity creation and financial fragility: a theory of banking, J.of Political Economy, 109, 287-327.
Diamond, D.W., Rajan, R.G., 2005, Liquidity shortages and banking crises, J.of Finance, 60, 615-647
Dietrich, D., Vollmer, V., 2004. Why do banks hold capital in excess of regulatory requirements?. A functional approach, Institut fur Wirtshaftsforschung Halle, WP 192
Duffie D., Lando D., 2001. Term structure of credit spreads with incomplete accounting information, Econometrica, 69 (3), 633-664
Duffie, D., K.Singleton, 1999. Modeling term structures of defaultable bonds. Rev. of Fin.Studies 12, 687-720
Elizalde A., Repullo R., 2004, Economic capital and regulatory capital: what is the difference?, CEPR Discussion Paper N.4770, December.
Embrechts, P. (ed.) 2000. Extremes and Integrated Risk Management. RISK Waters Group, London
Enria A. et al., 2004. Fair value accounting and financial stability, ECB Occasional paper series, n. 13
Estrella, A. 2004. The cyclical behaviour of optimal bank capital. J.of Banking and Finance 28, 1469-1498.
Estrella, A., Mishkin, S., 1998. Predicting U.S. recessions: financial variables as leading indicators. Rev. of Econ. and Stat. 80 (1), 45-61
Estrella, A., Rodrigues, A. P., Schich, S., 2003. How stable is the predictive power of the yield curve? Evidence from Germany and the United States. Rev. of Econ. and Stat. 85 (3), 629-644
Filosa, R., 2004. Monetary and real shocks, the business cycle and the value of the euro, BIS Working Paper 154, June
Flannery, M.J., Rangan, K., 2004. What caused the bank capital build-up of the 1990s?, FDIC Center for Financial Research WP 2004-03
Frey, R., A.J.McNeil,2003. Dependent defaults in models of portfolio credit risk. J.of Risk (6)1, 59-92
Goodhart, C.A., Sunirand, P., Tsomocos, D.P., 2004, A model to analyse financial fragility, J.of Fin.Stability 1, 1-30
Goodhart, C.A., 2004, Some new directions for financial fragility?, Jacobsson Lecture, BIS, 27 June
Gordy, M., 2003. A risk-factor model foundation for rating-based capital rules. J.of Fin.Intermediation 12 (3), 199-232.
Gordy, M., Howells B., 2004, Procyclicality in Basel II: can we treat the disease without killing the patient?. Workshop “Accounting, transparency and bank stability”, Basel, May
Hoggarth, G., Logan, A., Zicchino, L., 2004. Macro stress testing UK banks, Bank of England, unpublished
Hsiao, C., Pesaran, M.H., 2004. Random Coefficient Panel Data Models, CESifo Working Paper No. 1236
Jarrow, R.A., S. Turnbull, 1995. Pricing Derivatives on Financial Securities Subject to Credit Risk, J.of Finance 50, 53-86
Jarrow, R.A., D.Lando, S.Turnbull, 1997. A Markov model for the term structure of credit risk spreads. Rev. of Fin.Studies 10(2), 481-523
Lucas, A., P.Klaassen, P.Spreij, S.Straetmans, 2003. Tail behaviour of credit loss distribution for general latent factor models. App. Math. Finance 10(4), 337-357
Marotta G., Pederzoli C., Torricelli C, 2005. Forward-looking estimation of default probabilities with Italian data, Proceedings of the third Int.Finance Conference, Hammamet, March 2005.
Muzzioli S., Torricelli C., 2004. A Multiperiod Binomial Model for Pricing Options in a Vague World,J.of Econ. Dynamics and Control, 28, 861-887
Mulvey J.M. , Ziemba, W.T., (eds.) 1998. Worldwide Asset and Liability Modeling. Cambridge University Press, Cambridge (UK)
Nandi, S., 1998. Valuation Models of Default-Risky Securities: an Overview. Federal Reserve Bank of Atlanta, Econ. Rev., 22-35
Pederzoli C., Torricelli C., 2005. Capital requirements and Business Cycle Regimes: Forward-looking modelling of Default Probabilities , J.of Banking and Finance, forth.
Pelizzon, L., Schaefer, S., 2004. Pillar 1 vs Pillar 2 under risk management, in Stulz-Carey(eds) The risks of financial institutions, Univ. of Chicago Press
Peura S., Keppo J., 2005, Optimal bank capital with costly recapitalization, AFA 2005, Philadelphia Meeting
Pflug, G., 2000. Some remarks on the Value-at-Risk and the conditional Value-at-Risk. In Probabilistic Constrained Optimization:Methodology and Applications, S.Uryasev (ed.), Kluwer Academic Pbl. 272-281
Resnick, S.I.,2004. On the foundations of multivariate heavy tail analysis. J.of App. Probability 41.A, 191-212
Rockafellar, R.T., S.Uryasev, 2000. Optimization of Conditional Value-at-Risk. The J.of Risk, Vol.2-No.3, 21-41
Rochet, J. C. , 2004. Rebalancing the three pillars of Basel 2. Econ. Policy Rev., 10 (2), 7-21.
Schönbucher, P.J.,2001, A tree implementation of a credit spread model for credit-risky securities. Bonn Graduate School of Economics,DP 17/2001
Schönbucher, P.J., D.Schubert, 2001.Copula-dependent default risk in intensity models. Technical Report Department of Statistics,University of Bonn
Schuermann T., Hanson S., 2004. Estimating probabilities of default, Federal Reserve Bank of New York Staff Report n. 190, July
Szegö, G. (ed.) 2004. Risk Measures for the 21st Century. Wiley & Sons
Topaloglou, N., H.Vladimirou, S.A.Zenios, 2002. CVaR models with selective hedging for international asset allocation, J.of Banking and Finance 26.7, 1535-1561
Tsomocos,D.P., 2003. Equilibrium analysis, banking and financial instability, J.of Math. Econ. 39, 619-655
Wang, C-P., David Shyu, Y. Chris Liao, Ming-Chi Chen, Miao-Ling Chen, 2003. A model of optimal dynamic asset allocation in aValue-at-Risk framework. Int.J.of Risk Assessment and Management 4.4, 301-309
Zenios, S.A., 1993. Financial Optimization. Cambridge University Press

Parole Chiave

CAPITALE DELLA BANCA; MISURAZIONE DEL RISCHIO DI CREDITO; CONTROLLO DEL RISCHIO DI CREDITO; BASILEA II; RISCHIO DI DEFAULT; PROCICLICITA'; MODELLI DI PRICING; PROGRAMMAZIONE STOCASTICA; IAS