Malvina Marchese

Cass Business School, City, University of london

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

364

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (6)

Credit Risk in European Banks: The Bright Side of the Internal Ratings Based Approach

(2018). Journal of Banking & Finance, 93, pp. 213-229. doi:10.1016/j.jbankfin.2018.06.014
Number of pages: 57 Posted: 20 Mar 2020
University of Parma - Dipartimento di Scienze Economiche e Aziendali, Catholic University of the Sacred Heart of Milan - Catholic University of the Sacred Heart of Piacenza, Cass Business School, City, University of london and University of Genova - Department of Economics
Downloads 153 (351,551)
Citation 3

Abstract:

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Internal Ratings Based approach; credit risk; prudential regulation; dynamic panels; state dependent endogenous dummy; System GMM

2.

Forecasting Energy Price Volatilities and Correlations: New Evidence From Fractionally Integrated Multivariate Garch Models

Energy Economics, Forthcoming
Number of pages: 22 Posted: 20 Mar 2020
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica
Downloads 136 (385,812)

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Multivariate GARCH, Long Memory, Superior Predictive Ability Test, Model

3.

Structural Changes in Asset Correlations And  Macroeconomic Fundamentals

Number of pages: 40 Posted: 22 Jun 2023
Cass Business School, City, University of london, CSEF - University of Naples Federico II, City University London - The Business School and affiliation not provided to SSRN
Downloads 57 (666,577)

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Mixed frequency datastructural breakscorrelation component modelsrisk managementValue at RiskEnergy Markets financialization

4.

Determinants of the Price Premium for Eco Vessels

Number of pages: 3 Posted: 07 Mar 2024 Last Revised: 10 Mar 2024
Bayes Business School, Cass Business School, City, University of London, Cass Business School, City, University of london and City University London - The Business School
Downloads 18 (964,530)

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Asset Pricing, Sustainable Shipping, Maritime Decarbonisation, Vessel Prices, Net Zero Shipping, Price Premium

5.

A Combination Approach to Forecasting Precious Metals Correlations

Posted: 10 Apr 2024
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, Bayes Business School, City University London - The Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Precious metals correlations, forecast combinations, Value at Risk, macroeconomic fundamentals, structural breaks

6.

Structural changes in asset correlations and macroeconomic fundamentals

Posted: 27 Apr 2022 Last Revised: 28 Feb 2023
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica

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Mixed frequency data, structural breaks, correlation component models, risk management