Andrea Resti

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

  • Bocconi University - Department of Finance

SCHOLARLY PAPERS

18

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13,033

TOTAL CITATIONS
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Top 1,822

in Total Papers Citations

86

Scholarly Papers (18)

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1.

The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

Downloads 4,549 ( 4,600)
Citation 9

The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

Number of pages: 44 Posted: 22 Jun 2002
Andrea Sironi, Edward I. Altman, Brooks Brady and Andrea Resti
Bocconi University - Department of Finance, New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions and Bocconi University - Department of Finance
Downloads 3,799 (6,057)
Citation 7

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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality

The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

NYU Working Paper No. 2451/26764
Number of pages: 46 Posted: 03 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 383 (161,818)

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The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

NYU Working Paper No. 2451/26764
Number of pages: 46 Posted: 05 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 367 (169,727)
Citation 2

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2.

The Link between Default and Recovery Rates: Effects on the Procyclicality of Regulatory Capital Ratios

BIS Working Paper No. 113
Number of pages: 37 Posted: 13 Dec 2005
Edward I. Altman, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 1,373 (30,665)

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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality

3.

Estimating Economic Capital on a Credit Portfolio: A Survey of Some New Methodologies

CAREFIN Research Paper No. 1/08
Number of pages: 60 Posted: 06 Apr 2015
Andrea Resti
Bocconi University - Department of Finance
Downloads 1,336 (31,889)

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capitale economico, secondo pilastro, rischio di concentrazione

4.

Do Bank Acquisitions Increase Shareholders' Wealth? A Comparison between Market-Based and Accounting-Based Performance Indicators for Some Italian Banks

Number of pages: 36 Posted: 14 Jun 2000
Andrea Resti and Giovanni Siciliano
Bocconi University - Department of Finance and CONSOB (Commissione Nazionale per le Società e la Borsa)
Downloads 1,201 (37,199)
Citation 1

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bank, mergers, efficiency, CAR

5.

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

Downloads 951 (51,887)
Citation 32

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

NYU Working Paper No. S-FI-03-19
Number of pages: 27 Posted: 11 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 506 (116,356)

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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

NYU Working Paper No. S-CDM-03-02
Number of pages: 27 Posted: 05 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 183 (343,915)
Citation 5

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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

NYU Working Paper No. S-DRP-03-08
Number of pages: 28 Posted: 07 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 168 (371,255)
Citation 27

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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

NYU Working Paper No. FIN-03-006
Number of pages: 28 Posted: 03 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 94 (587,029)

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credit rating, capital requirements, credit risk, recovery rate, defaul, procyclicality

6.

Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence

NYU Working Paper No. S-CDM-03-11
Number of pages: 33 Posted: 05 Nov 2008
Edward I. Altman, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 737 (73,284)
Citation 6

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credit rating, credit risk, recovery rate, default rate

7.

Supervisors as Information Producers: Do Stress Tests Reduce Bank Opaqueness?

Number of pages: 36 Posted: 07 Dec 2011 Last Revised: 20 Mar 2012
Giovanni Petrella and Andrea Resti
Università Cattolica del Sacro Cuore and Bocconi University - Department of Finance
Downloads 679 (81,302)
Citation 21

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stress tests, financial crises, event study

8.

The Link between Default and Recovery Rates

NYU Working Paper No. S-CDM-04-07
Number of pages: 32 Posted: 05 Nov 2008
Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 659 (84,520)
Citation 2

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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality

9.

The Credibility of European Banks’ Risk-Weighted Capital: Structural Differences or National Segmentations?

BAFFI CAREFIN Centre Research Paper No. 2015-9
Number of pages: 36 Posted: 04 Jun 2015
Brunella Bruno, Giacomo Nocera and Andrea Resti
Bocconi University - Department of Finance, Audencia Business School and Bocconi University - Department of Finance
Downloads 435 (141,173)
Citation 11

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Banks, capital, risk-weighted assets, regulation, Basel accords

10.

Bank Capital Under Basel 3: Open Issues and Foreseeable Effects

CAREFIN Research Paper No. 21/2010
Number of pages: 82 Posted: 02 Apr 2011
Andrea Resti and Giuliano Iannotta
Bocconi University - Department of Finance and Università Cattolica
Downloads 421 (146,624)

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11.

What's Different about Loans? An Analysis of the Risk Structure of Credit Spreads

SDA Bocconi Research Paper No. 186/07
Number of pages: 35 Posted: 10 Sep 2008
Andrea Resti and Andrea Sironi
Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 275 (232,818)
Citation 1

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Eurobonds, syndicated loans, credit ratings, spreads, default risk

12.

Basel 3 and the Liquidity of Corporate and Government Bonds in Europe

Bancaria No. 03-2013
Number of pages: 14 Posted: 07 Jul 2013
Giovanni Petrella and Andrea Resti
Università Cattolica del Sacro Cuore and Bocconi University - Department of Finance
Downloads 156 (396,007)

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Liquidity risk, Liquidity coverage ratio, high quality risky asset, Basel 3

13.

An Empirical Analysis of Eurozone Government Bonds Liquidity: Determinants, Predictability and Implications for the New Bank Prudential Rules

BAFFI CAREFIN Centre Research Paper No. 2016-45
Number of pages: 54 Posted: 22 Dec 2016
Giovanni Petrella and Andrea Resti
Università Cattolica del Sacro Cuore and Bocconi University - Department of Finance
Downloads 141 (429,847)

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liquidity risk; liquidity coverage ratio; high-quality liquid assets (HQLAs); Basel 3; Basel Committee

14.

Do Investors Care About Credit Ratings? An Analysis Through the Cycle

Number of pages: 36 Posted: 17 Oct 2011 Last Revised: 08 Nov 2022
Giuliano Iannotta, Giacomo Nocera and Andrea Resti
Università Cattolica, Audencia Business School and Bocconi University - Department of Finance
Downloads 117 (497,349)
Citation 3

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Bonds, Credit spreads, Ratings, Opaqueness

15.

Are Risk-Based Capital Requirements Detrimental to Corporate Lending? Evidence from Europe

CEPR Discussion Paper No. DP12007
Number of pages: 38 Posted: 02 May 2017
Brunella Bruno, Giacomo Nocera and Andrea Resti
Bocconi University - Department of Finance, Audencia Business School and Bocconi University - Department of Finance
Downloads 3 (1,287,976)
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16.

Estimating Exposure at Default Under the Internal Ratings-Based Approach

Bancaria No. 12-2009
Posted: 01 Feb 2010
Andrea Resti, Massimiliano Cecconi and Elisa Alghisi Manganello
Bocconi University - Department of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN

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Basel 2, Exposure At Default, Credit Conversion Factors

17.

Bank Lending, Internal Rating and VAR Models: How Much Independence for Operating Units?

Bancaria No. 02-2009
Posted: 17 Jul 2009 Last Revised: 15 Jan 2010
Francesco Saita and Andrea Resti
Bocconi University - Department of Finance and Bocconi University - Department of Finance

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VAR, internal rating systems, pricing

18.

The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model

Journal of Financial Intermediation, Vol. 16, No. 1, 2007
Posted: 10 Oct 2007
Andrea Resti and Andrea Sironi
Bocconi University - Department of Finance and Bocconi University - Department of Finance

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eurobonds, credit ratings, spreads, structural models, capital regulation, deposit insurance, banks