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.)