Piergiorgio Alessandri

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

5

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Top 28,549

in Total Papers Downloads

2,189

SSRN CITATIONS
Rank 12,528

SSRN RANKINGS

Top 12,528

in Total Papers Citations

66

CROSSREF CITATIONS

31

Scholarly Papers (5)

1.

Funding Liquidity Risk in a Quantitative Model of Systemic Stability

Bank of England Working Paper No. 372
Number of pages: 39 Posted: 17 Jun 2009
Bank of England - Monetary Assessment and Strategy Division, Bank of England, HSBC (London), Bank of England, Bank of EnglandEuropean Central Bank (ECB), Bank of England, Lebanese University, Bank of England and Bank of England
Downloads 1,464 (16,209)
Citation 46

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systemic risk, financial stability models, funding liquidity risk, contagion

2.

An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book

ECB Working Paper No. 1041
Number of pages: 57 Posted: 06 May 2009
Piergiorgio Alessandri and Mathias Drehmann
Bank of England and Bank for International Settlements (BIS)
Downloads 332 (115,071)

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Economic capital, risk management, credit risk, interest rate risk, asset and liability management

3.

An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book

Bank of England Working Paper No. 388
Number of pages: 36 Posted: 01 Jun 2010
Piergiorgio Alessandri and Mathias Drehmann
Bank of England and Bank for International Settlements (BIS)
Downloads 251 (154,043)
Citation 24

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Economic Capital, Risk Management, Credit Risk, Interest Rate Risk, Asset And Liability Management

4.

Simple Banking: Profitability and the Yield Curve

Bank of England Working Paper No. 452
Number of pages: 55 Posted: 26 Jun 2012
Piergiorgio Alessandri and Benjamin Nelson
Bank of England and Bank of England
Downloads 137 (263,227)
Citation 4

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5.

Miller and Modigliani, Predictive Return Regressions and Co-integration

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 2, pp. 181-207, April 2008
Number of pages: 27 Posted: 27 Mar 2008
Piergiorgio Alessandri, Donald Robertson and Stephen H. Wright
Bank of England, Cambridge University - Department of Economics and Birkbeck College, University of London
Downloads 5 (757,317)
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Other Papers (1)

Total Downloads: 362
1.

Funding Liquidity Risk in a Quantitative Model of Systemic Stability

EFA 2009 Bergen Meetings Paper
Number of pages: 37 Posted: 16 Feb 2009
Bank of England - Monetary Assessment and Strategy Division, Bank of England, HSBC (London), Bank of England, Bank of EnglandEuropean Central Bank (ECB), affiliation not provided to SSRN, Lebanese University, Bank of England and Bank of England
Downloads 362

Abstract:

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Systemic Risk, Financial Stability Models, Funding Liquidity Risk