Cosimo Pancaro

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

12

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31

CROSSREF CITATIONS

38

Scholarly Papers (12)

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1.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Jerome Henry, Christoffer Kok, Adrien Amzallag, Patrizia Baudino, Inês Cabral, Maciej Grodzicki, Marco Gross, Grzegorz Halaj, Markus Kolb, Miha Leber, Cosimo Pancaro, Matthias Sydow, Angelos T. Vouldis, Angelos T. Vouldis, Maik Zimmermann and Dawid Żochowski
European Central Bank (ECB), European Central Bank (ECB), European Securities and Markets Authority, European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)Bank of Greece, European Central Bank (ECB) and European Central Bank
Downloads 668 (60,164)
Citation 13

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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision

2.

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

Downloads 292 (158,381)
Citation 2

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

SAFE Working Paper No. 137
Number of pages: 78 Posted: 22 May 2016 Last Revised: 21 Nov 2016
Elia Berdin, Cosimo Pancaro and Christoffer Kok
Generali & International Center for Insurance Regulation, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 174 (258,973)

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Financial Stability, Insurance, Interest Rate Risk, Stress Test

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

ECB Working Paper No. 2028
Number of pages: 78 Posted: 01 Mar 2017
Elia Berdin, Christoffer Kok and Cosimo Pancaro
Generali & International Center for Insurance Regulation, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 89 (429,391)

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financial stability, insurance, interest rate risk, stress test

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

Number of pages: 76 Posted: 21 May 2016 Last Revised: 12 Nov 2016
Elia Berdin, Cosimo Pancaro and Christoffer Kok
Generali & International Center for Insurance Regulation, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 29 (718,231)
Citation 4

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Financial Stability, Insurance, Interest Rate Risk, Stress Test

3.

Trade Openness Reduces Growth Volatility When Countries are Well Diversified

Downloads 101 (206,148)
Citation 23

Trade Openness Reduces Growth Volatility when Countries are well Diversified

ECB Working Paper No. 1491
Number of pages: 44 Posted: 22 Nov 2012
Mona Haddad, Jamus Jerome Lim, Cosimo Pancaro and Christian Saborowski
World Bank - EASPR, World Bank, European Central Bank (ECB) and International Monetary Fund (IMF)
Downloads 100 (397,644)
Citation 1

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export diversification, growth volatility, trade openness

Trade Openness Reduces Growth Volatility When Countries are Well Diversified

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 46, Issue 2, pp. 765-790, 2013
Number of pages: 26 Posted: 18 May 2013
Mona Haddad, Jamus Jerome Lim, Cosimo Pancaro and Christian Saborowski
World Bank - EASPR, World Bank, European Central Bank (ECB) and International Monetary Fund (IMF)
Downloads 1 (1,004,234)
Citation 6

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4.

The Balassa-Samuelson and the Penn Effect: Are They Really the Same?

Number of pages: 29 Posted: 13 Jun 2013
Cosimo Pancaro
European Central Bank (ECB)
Downloads 197 (232,107)
Citation 1

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Balassa-Samuelson effect, Penn effect, real exchange rate

5.

The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test

Downloads 167 (268,274)

The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test

ECB Working Paper No. 2021/2551
Number of pages: 65 Posted: 19 May 2021
Christoffer Kok, Carola Müller, Steven Ongena and Cosimo Pancaro
European Central Bank (ECB), Center for Latin American Monetary Studies – CEMLA, University of Zurich and European Central Bank (ECB)
Downloads 107 (379,314)

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The Disciplining Effect of Supervisory Scrutiny in the EU-Wide Stress Test

Swiss Finance Institute Research Paper No. 22-59, 2022
Number of pages: 68 Posted: 03 Aug 2022 Last Revised: 14 Nov 2022
Cosimo Pancaro, Christoffer Kok, Carola Müller and Steven Ongena
European Central Bank (ECB), European Central Bank (ECB), Center for Latin American Monetary Studies – CEMLA and University of Zurich - Department of Banking and Finance
Downloads 60 (536,701)

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Stress Testing, Credit risk, Internal Models, Banking Supervision, banking regulation

The Disciplining Effect of Supervisory Scrutiny in the Eu-Wide Stress Test

CEPR Discussion Paper No. DP16157
Number of pages: 64 Posted: 14 Jul 2021
Christoffer Kok, Carola Müller, Steven Ongena and Cosimo Pancaro
European Central Bank (ECB), Center for Latin American Monetary Studies – CEMLA, University of Zurich - Department of Banking and Finance and European Central Bank (ECB)
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6.

Macroprudential Stress Test of the Euro Area Banking System

ECB Occasional Paper No. 226 (2019); ISBN 978-92-899-3691-0
Number of pages: 62 Posted: 03 Jul 2019
Katarzyna Barbara Budnik, Mirco Balatti, Giovanni Covi, Ivan Dimitrov, Johannes Groß, Ib Hansen, Michael Kleemann, Tomas Reichenbachas, Francesco Sanna, Andrei Sarychev, Nadežda Siņenko, Matjaz Volk, Katharina Cera, Giovanni di Iasio, Margherita Giuzio, Harun Mirza, Diego Moccero, Giulio Nicoletti, Cosimo Pancaro and Spyros Palligkinis
European Central Bank (ECB), Henley Business School - ICMA Centre, Bank of England, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, Bank of Lithuania, European Central Bank (ECB), European Central Bank (ECB), Bank of Latvia, Bank of Slovenia, European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 146 (299,702)

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macro stress test, macroprudential policy, banking sector deleveraging, real-financial feedback mechanism

7.

Do Non-Performing Loans Matter for Bank Lending and the Business Cycle in Euro Area Countries?

ECB Working Paper No. 20202411
Number of pages: 38 Posted: 15 May 2020
Ivan Huljak, Reiner Martin, Diego Moccero and Cosimo Pancaro
Croatian National Bank, National Bank of Slovakia, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 140 (315,103)
Citation 2

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euro area countries, hierarchical priors, non-performing loans, panel Bayesian VAR

8.

Bank Funding Costs and Solvency

Downloads 100 (394,861)
Citation 1

Bank Funding Costs and Solvency

Number of pages: 39 Posted: 09 Jan 2020
Cosimo Pancaro, Dawid Żochowski, Guillaume Arnould and Guillaume Arnould
European Central Bank (ECB), European Central Bank and Bank of EnglandUniversité Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 54 (565,065)
Citation 1

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banks, funding costs, solvency

Bank Funding Costs and Solvency

Bank of England Working Paper No. 853
Number of pages: 38 Posted: 04 Jan 2021
Guillaume Arnould, Guillaume Arnould, Cosimo Pancaro and Dawid Żochowski
Bank of EnglandUniversité Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), European Central Bank (ECB) and European Central Bank
Downloads 46 (606,853)

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Banks, solvency, funding costs

9.

Macroeconomic Volatility after Trade and Capital Account Liberalization

World Bank Policy Research Working Paper No. 5441
Number of pages: 32 Posted: 20 Apr 2016
Cosimo Pancaro
European Central Bank (ECB)
Downloads 96 (405,474)

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Emerging Markets, Economic Theory & Research, Free Trade, Debt Markets, Trade Policy

10.

Macro Stress Testing Euro Area Banks' Fees and Commissions

ECB Working Paper No. 2029
Number of pages: 37 Posted: 02 Mar 2017
Christoffer Kok, Harun Mirza and Cosimo Pancaro
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 75 (470,590)
Citation 2

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fee and commission income, stress testing, scenario analysis

11.

Current Account Reversals in Industrial Countries: Does the Exchange Rate Regime Matter?

ECB Working Paper No. 1547
Number of pages: 36 Posted: 19 Jun 2013
Cosimo Pancaro
European Central Bank (ECB)
Downloads 55 (550,582)

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Current account, reversals, exchange rate regime

12.

Fire Sales by Euro Area Banks and Funds: What is Their Asset Price Impact?

ECB Working Paper No. 20202491
Number of pages: 46 Posted: 23 Nov 2020
Harun Mirza, Diego Moccero, Spyros Palligkinis and Cosimo Pancaro
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 28 (704,999)

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