Mario Quagliariello

European Banking Authority

Floor 46

One Canada Square, Canary Wharf

London, E14 5AA

United Kingdom

SCHOLARLY PAPERS

13

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Top 10,158

in Total Papers Citations

42

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Scholarly Papers (13)

1.

The Role of Basel II in the Subprime Financial Crisis: Guilty or Not Guilty?

CAREFIN Research Paper No. 3/09
Number of pages: 24 Posted: 21 Jan 2009
Francesco Cannata and Mario Quagliariello
Bank of Italy and European Banking Authority
Downloads 8,443 (583)

Abstract:

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2.

Stress Testing the Banking System: Methodologies and Applications

STRESS TESTING THE BANKING SYSTEM, M. Quagliariello, ed., Cambridge University Press, Forthcoming
Number of pages: 67 Posted: 10 Jan 2009 Last Revised: 01 May 2009
Mario Quagliariello
European Banking Authority
Downloads 4,106 (2,059)

Abstract:

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stress tests, financial stability, financial crises, banks, credit risk, market risk, liquidity risk, risk aggregation

3.

Banks' Riskiness Over the Business Cycle: A Panel Analysis on Italian Intermediaries

Bank of Italy Economic Research Paper No. 599
Number of pages: 51 Posted: 06 Oct 2006
Mario Quagliariello
European Banking Authority
Downloads 437 (64,162)

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procyclicality, banks, loan loss provisions, non-performing loans, business cycle

4.

Lessons Learned from the Financial Crisis for Financial Stability and Banking Supervision

Bank of Italy Occasional Paper No. 76
Number of pages: 32 Posted: 04 May 2011
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and European Banking Authority
Downloads 338 (86,814)

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financial crisis, international cooperation, macroprudential analysis, procyclicality, prudential regulation, stress tests

5.

Credit Risk and Business Cycle Over Different Regimes

Bank of Italy Temi di Discussione (Working Paper) No. 670
Number of pages: 55 Posted: 15 Jul 2008
Juri Marcucci and Mario Quagliariello
Bank of Italy and European Banking Authority
Downloads 318 (92,881)

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Credit Risk, Panel Threshold Regression Models, Regime Switching, Default Rate, Business Cycle, Cyclicality, Basel 2

6.

Pro-Cyclicality of Capital Regulation: Is it a Problem? How to Fix it?

Bank of Italy Occasional Paper No. 74
Number of pages: 45 Posted: 08 Dec 2010
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and European Banking Authority
Downloads 313 (94,535)

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Basel Accord, pro-Cyclicality

Dynamic Provisioning: Rationale, Functioning, and Prudential Treatment

Bank of Italy Research Paper Series - Occasional Paper No. 57
Number of pages: 30 Posted: 26 Oct 2010
Marco Burroni, Mario Quagliariello, Emiliano Sabatini and Vincenzo Tola
Bank of Italy, European Banking Authority, Bank of Italy and Bank of Italy
Downloads 165 (177,395)

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dynamic provisions, capital buffers, Basel 2, credit risk, procyclicality

Dynamic Provisioning: Rationale, Functioning, and Prudential Treatment

Bank of Italy Occasional Paper No. 57
Number of pages: 30 Posted: 05 Jan 2010
Marco Burroni, Mario Quagliariello, Emiliano Sabatini and Vincenzo Tola
Bank of Italy, European Banking Authority, Bank of Italy and Bank of Italy
Downloads 134 (210,993)

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dynamic provisions, capital buffers, Basel 2, credit risk, procyclicality

Countercyclical Contingent Capital (CCC): Possible Use and Ideal Design

Bank of Italy Occasional Paper No. 71
Number of pages: 42 Posted: 16 Oct 2010
Bank of Italy, Bank of Italy, Bank of Italy and European Banking Authority
Downloads 129 (217,585)

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Basel 2, Capital Buffer, Procyclicality, Contingent Capital, Financial Crisis, Reforms

Countercyclical Contingent Capital (CCC): Possible Use and Ideal Design

Bank of Italy Occasional Paper No. 71
Number of pages: 42 Posted: 08 Dec 2010
Bank of Italy, Bank of Italy, Bank of Italy and European Banking Authority
Downloads 129 (217,585)

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Basel 2, capital buffer, procyclicality, contingent capital, financial crisis, reforms

9.

Macroeconomic Uncertainty and Banks' Lending Decisions: The Case of Italy

Bank of Italy Economic Research Paper No. 615
Number of pages: 40 Posted: 19 Mar 2007
Mario Quagliariello
European Banking Authority
Downloads 195 (152,702)

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bank, business cycle, uncertainty, lending decisions, GARCH

10.

Incentives Through the Cycle: Microfounded Macroprudential Regulation

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 18 Posted: 22 Jan 2011 Last Revised: 01 Mar 2013
Giovanni di Iasio and Mario Quagliariello
Bank of Italy and European Banking Authority
Downloads 161 (180,894)

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Macroprudential regulation, incentives, financial stability, Basel III, Value-at-Risk

11.

Regulatory Impact Assessment at the Bank of Italy

Bank of Italy Occasional Paper No. 78
Number of pages: 40 Posted: 04 May 2011
Bank of Italy, Bank of Italy, Bank of Italy and European Banking Authority
Downloads 76 (308,898)

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RIA, impact assessment, regulation, bank, public consultation

12.

Incentives Through the Cycle: Microfounded Macroprudential Regulation

Bank of Italy Temi di Discussione (Working Paper) No. 894
Number of pages: 30 Posted: 21 Feb 2013
Giovanni di Iasio and Mario Quagliariello
Bank of Italy and European Banking Authority
Downloads 39 (420,532)

Abstract:

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macroprudential regulation, incentives, financial stability, Basel III, Value-at-Risk, market-based financial intermediaries, financial crises

13.

The Impact of Basel 2 on the Financial Crisis: Guilty or not Guilty?

Bancaria No. 01-2009
Posted: 05 Aug 2009 Last Revised: 10 Aug 2009
Francesco Cannata and Mario Quagliariello
Bank of Italy and European Banking Authority

Abstract:

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Basel 2, Financial Crisis, Regulation