Antonio Di Cesare

Bank of Italy

Economist

Via Nazionale 91

00184 Roma

Italy

SCHOLARLY PAPERS

8

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2,563

SSRN CITATIONS
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Top 2,474

in Total Papers Citations

163

CROSSREF CITATIONS

352

Scholarly Papers (8)

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1.

An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil

Bank of Italy Temi di Discussione (Working Paper) No. 749
Number of pages: 45 Posted: 01 Sep 2010
Antonio Di Cesare and Giovanni Guazzarotti
Bank of Italy and Bank of Italy
Downloads 765 (37,118)
Citation 1

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Credit Default Swaps, Bond Spreads, Credit Risk, Merton Model

2.

Financial Sector Pro-Cyclicality: Lessons from the Crisis

Bank of Italy Occasional Paper No. 44
Number of pages: 86 Posted: 29 Sep 2009 Last Revised: 21 May 2011
Fabio Panetta, Paolo Angelini, Ugo Albertazzi, Francesco Columba, Wanda Cornacchia, Antonio Di Cesare, Andrea Pilati, Carmelo Salleo and Giovanni Santini
Bank of Italy, Bank of Italy, ECB -DG Monetary Policy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 669 (44,518)
Citation 52

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pro-cyclicality, financial accelerator, capital requirements, leverage, accounting standards, incentives

3.

Risk Measures for Autocorrelated Hedge Fund Returns

Downloads 359 ( 95,744)
Citation 30

Risk Measures for Autocorrelated Hedge Fund Returns

Bank of Italy Temi di Discussione (Working Paper) No. 831., Revised version: Journal of Financial Econometrics Forthcoming
Number of pages: 53 Posted: 14 Feb 2012 Last Revised: 20 Aug 2014
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 217 (161,322)
Citation 27

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hedge funds, serial correlation, systemic risk, VaR, Pareto distribution

Risk Measures for Autocorrelated Hedge Fund Returns

Number of pages: 44 Posted: 02 May 2011
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 142 (234,799)
Citation 12

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Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution

4.

Do Market-Based Indicators Anticipate Rating Agencies? Evidence for International Banks

Downloads 357 ( 96,378)
Citation 125

Do Market-Based Indicators Anticipate Rating Agencies? Evidence for International Banks

Bank of Italy Economic Research Paper No. 593
Number of pages: 45 Posted: 14 Jul 2006
Antonio Di Cesare
Bank of Italy
Downloads 336 (102,553)
Citation 23

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Credit derivatives, credit default swaps, option-adjusted spreads, credit ratings

Do Market-Based Indicators Anticipate Rating Agencies? Evidence for International Banks

Economic Notes, Vol. 35, No. 1, pp. 121-150, February 2006
Number of pages: 30 Posted: 19 May 2006
Antonio Di Cesare
Bank of Italy
Downloads 21 (605,674)
Citation 4
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5.

Recent Estimates of Sovereign Risk Premia for Euro-Area Countries

Bank of Italy Occasional Paper No. 128
Number of pages: 41 Posted: 10 Oct 2012
Antonio Di Cesare, Giuseppe Grande, Michele Manna and Marco Taboga
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 258 (136,813)
Citation 52

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interest rates, government yield spreads, sovereign risk premia, government debt, financial crisis, sovereign debt crisis, financial contagion, euro break up, convertibility risk

6.

A Survey of Systemic Risk Indicators

Downloads 99 (304,759)
Citation 2

A Survey of Systemic Risk Indicators

Bank of Italy Occasional Paper No. 458
Number of pages: 80 Posted: 31 Jul 2019
Antonio Di Cesare and Anna Rogantini Picco
Bank of Italy and European University Institute
Downloads 52 (441,439)
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systemic risk, financial stability, systemic risk indicators

A Survey of Systemic Risk Indicators

Bank of Italy Occasional Paper No. 458
Number of pages: 80 Posted: 14 Jun 2019 Last Revised: 21 Jun 2019
Antonio Di Cesare and Anna Rogantini Picco
Bank of Italy and European University Institute
Downloads 47 (461,589)
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systemic risk, financial stability, systemic risk indicators

7.

Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'

Number of pages: 19 Posted: 20 Jul 2014
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 41 (478,442)
Citation 1

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Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution

8.

Estimating Expectations of Shocks Using Option Prices

Bank of Italy Temi di Discussione (Working Paper) No. 506
Number of pages: 26 Posted: 14 Jun 2019
Antonio Di Cesare
Bank of Italy
Downloads 15 (626,668)
Citation 104

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jump-diffusion stochastic processes, option pricing, volatility