… attention on the fourth “L”: linkages. … L ik ζ k , where L ik is a factor loading for ζ k for an
institution i. Thus, we have(4) E [ z i z j ] = ∑ k = 1 N ∑ l = 1 N L ik L jl E [ ζ k ζ l ] = ∑ k = 1 N L ik L …

We analyze the ESG rating criteria used by prominent agencies and show that there is a lack
of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards …

This paper analyzes sovereign risk shift-contagion, ie positive and significant changes in the
propagation mechanisms, using bond yield spreads for the major eurozone countries. By …

We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and
the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an …

This paper analyses the application of a switching volatility model to forecast the distribution
of returns and to estimate the Value-at-Risk (VaR) of both single assets and portfolios. We …

… At t = 0, the bank has a borrower who needs a loan of L > 0. The winning bank contracts with
the borrower to repay L R at t = 1 in exchange for a loan of L at t = 0. Once L R is determined…

We discuss different methods proposed in the literature to analyse the propagation
mechanism of a crisis and to verify the presence of contagion. We consider the propagation …

Why do retail consumers look for P2P financial intermediation? Are internet-based peer-to-peer
(P2P) loans a substitute for or a complement to bank loans? In this study we answer …

We examine the dynamic relation between credit risk and liquidity in the Italian sovereign
bond market during the eurozone crisis and the subsequent European Central Bank (ECB) …

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We
adopt a multivariate setting with credit default intensities driven by mutually exciting jump …