Antonio Di Cesare

Bank of Italy

Economist

Via Nazionale 91

00184 Roma

Italy

SCHOLARLY PAPERS

8

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Top 19,557

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2,438

SSRN CITATIONS
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Top 1,333

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Scholarly Papers (8)

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 737 (33,321)
Citation 253

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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
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 643 (40,033)
Citation 41

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

3.
Downloads 351 ( 84,729)
Citation 34

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 212 (143,518)
Citation 28

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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 139 (208,648)
Citation 15

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

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 327 (91,157)
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 (534,138)
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 242 (126,449)
Citation 42

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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.
Downloads 69 (332,161)
Citation 1

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 44 (417,631)

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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 25 (508,786)

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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 37 (437,049)
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 11 (576,753)
Citation 104

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jump-diffusion stochastic processes, option pricing, volatility