Risk Management and Bank Financing


May, 6, 2016

Parallel Sessions Program

 10.30 – 13.00 ROOM 1

Chairman: Prof. Andrea SIRONI

Rating Model Calibration: A Modern Approach

BONINI S., CALVANO G. (Discussant: Baldan C.)

Forecasting Volatility And Computing Value -At – Risk With The Vix Index: Is It Worthwhile?

BONGIOVANNI A., DE VINCENTIIS P., ISAIA E. (Discussant: Barone Adesi G.)

A Quantitative Model To Articulate The Banking Risk Appetite Framework (Raf)

BALDAN C., GERETTO E., ZEN F. (Discussant: Alupoaiei A.)

Adjustments In The Balance Sheets. Is It Normal This New Normal?

VOINEA L., ALUPOAIEI A., DRAGU F., NEAGU F. (Discussant: Castellani D.)

 

14.00 – 16.00 ROOM 1

Chairman: Prof. Paola DE VINCENTIIS

Var And Cvar Implied In Option Prices.

BARONE ADESI G. (Discussant: De Vincentiis P.)

Mortgage-Backed Securitisation And Sme’S Lending During The Financial Crisis: Evidence From The Cooperative Banking System.

CASTELLANI D. (Discussant: Migliavacca A.)

A Multi-Disciplinary Financial And Accounting Framework To Oustanding Debt Assessment And Default For Lease Agreement.

MIGLIAVACCA A., UBERTI M., PUDDU L., TIBILETTI L. (Discussant: Alfiero S.)

Sistemi Di Rating Interno E Credito Bancario: Da Dove Viene La Prociclicità.

PIA P., DAMILANO M., DE VINCENTIIS P., ISAIA E. (Discussant: Bonini S.)

Efficiency Analysis For The Risk Management Of Italian Saving Banks.

ALFIERO S., ESPOSITO A., DORONZO R., ARZANAGH P. (Discussant: Bongiovanni A.)