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Bank of Italy
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in Total Papers Citations
Interest rate risk, VAR, PCA, Non-normality, Non parametric methods
Credit risk, common latent factors, systemic risk, contagion
FAVAR approach, credit risk, market risk, factor model
countercyclical capital buffer, financial cycle, credit cycle, macroprudential policy, capital requirements, banks, banking crises
credit cycle, sectoral decomposition, synchronicity, cyclical systemic risk