simonetta iannotti

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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Top 38,609

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CROSSREF CITATIONS

20

Scholarly Papers (3)

1.

Scenario Based Principal Component Value-at-Risk: An Application to Italian Banks' Interest Rate Risk Exposure

Bank of Italy Economic Research Paper No. 602
Number of pages: 55 Posted: 06 Oct 2006
Roberta Fiori and simonetta iannotti
Bank of Italy and Bank of Italy
Downloads 684 (47,530)
Citation 21

Abstract:

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Interest rate risk, VAR, PCA, Non-normality, Non parametric methods

2.

Beyond Macroeconomic Risk: The Role of Contagion in the Italian Corporate Default Correlation

CAREFIN Research Paper No. 12/09
Number of pages: 37 Posted: 08 May 2010
Antonella Foglia, Roberta Fiori and simonetta iannotti
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 314 (120,976)

Abstract:

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Credit risk, common latent factors, systemic risk, contagion

3.

The Bank-Firm Relationships After Basel 2: A Survey on Italian Firms

Bank of Italy Occasional Paper No. 6
Number of pages: 32 Posted: 17 Sep 2007
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 249 (153,677)

Abstract:

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banks, firms, Basel 2