Andrea Resti

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

18

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CITATIONS
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Top 1,248

in Total Papers Citations

440

Scholarly Papers (18)

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

Number of pages: 44 Posted: 22 Jun 2002
Bocconi University - Department of Finance, New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions and Bocconi University - Department of Finance
Downloads 3,462 (1,970)
Citation 28

Abstract:

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
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 325 (72,236)
Citation 28

Abstract:

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
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 192 (125,772)
Citation 28

Abstract:

2.

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 1,149 (12,285)

Abstract:

capitale economico, secondo pilastro, rischio di concentrazione

3.

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 1,116 (12,576)
Citation 32

Abstract:

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

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 983 (15,712)

Abstract:

bank, mergers, efficiency, CAR

5.

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 522 (37,313)
Citation 38

Abstract:

credit rating, credit risk, recovery rate, default rate

6.

The Link between Default and Recovery Rates

NYU Working Paper No. S-CDM-04-07
Number of pages: 32 Posted: 05 Nov 2008
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 516 (38,855)
Citation 170

Abstract:

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

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 459 (39,901)
Citation 1

Abstract:

stress tests, financial crises, event study

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
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 173 (138,678)
Citation 134

Abstract:

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
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 78 (253,073)
Citation 134

Abstract:

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
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 57 (300,985)
Citation 134

Abstract:

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
New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 50 (320,629)
Citation 134

Abstract:

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

9.

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 353 (63,555)

Abstract:

10.

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 198 (115,192)

Abstract:

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

11.

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 77 (214,002)

Abstract:

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

12.

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 70 (162,518)

Abstract:

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

13.

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

Number of pages: 36 Posted: 17 Oct 2011 Last Revised: 22 Oct 2011
Giuliano Iannotta, Giacomo Nocera and Andrea Resti
Università Cattolica, Audencia Business School and Bocconi University - Department of Finance
Downloads 54 (287,116)
Citation 2

Abstract:

Bonds, Credit spreads, Ratings, Opaqueness

14.

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

Economic Notes, Vol. 33, No. 2, pp. 183-208, July 2004
Number of pages: 26 Posted: 07 Oct 2004
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 20 (429,311)
Citation 35
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Abstract:

15.

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 0 (345,710)

Abstract:

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

16.

Estimating Exposure at Default Under the Internal Ratings-Based Approach

Bancaria No. 12-2009
Posted: 01 Feb 2010
Bocconi University - Department of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

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

Abstract:

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

Abstract:

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