Mario Quagliariello

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

16

DOWNLOADS
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16,609

SSRN CITATIONS
Rank 9,190

SSRN RANKINGS

Top 9,190

in Total Papers Citations

26

CROSSREF CITATIONS

113

Scholarly Papers (16)

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 Central Bank (ECB)
Downloads 9,313 (729)

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 Central Bank (ECB)
Downloads 4,473 (2,625)
Citation 2

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 Central Bank (ECB)
Downloads 479 (76,556)
Citation 39

Abstract:

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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 Central Bank (ECB)
Downloads 356 (108,001)
Citation 1

Abstract:

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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 Central Bank (ECB)
Downloads 352 (109,360)
Citation 19

Abstract:

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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 Central Bank (ECB)
Downloads 350 (110,084)
Citation 20

Abstract:

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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 Central Bank (ECB), Bank of Italy and Bank of Italy
Downloads 168 (225,964)
Citation 5

Abstract:

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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 Central Bank (ECB), Bank of Italy and Bank of Italy
Downloads 137 (267,867)
Citation 3

Abstract:

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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 Central Bank (ECB)
Downloads 136 (269,404)

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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 Central Bank (ECB)
Downloads 130 (278,773)
Citation 6

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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 Central Bank (ECB)
Downloads 219 (178,182)
Citation 28

Abstract:

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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 Central Bank (ECB)
Downloads 167 (226,901)

Abstract:

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

11.
Downloads 155 (241,573)
Citation 1

Are Stress Tests Beauty Contests?

European Banking Authority Research Paper No. 4
Number of pages: 15 Posted: 05 Jan 2021
Mario Quagliariello
European Central Bank (ECB)
Downloads 97 (343,166)

Abstract:

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Stress test, bank, EBA, supervision, beauty contest, incentives

Are Stress Tests Beauty Contests?

EBA Staff Papers (2019)
Number of pages: 15 Posted: 31 Jul 2019
Mario Quagliariello
European Central Bank (ECB)
Downloads 58 (461,350)
Citation 1

Abstract:

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Stress test, bank, EBA, supervision, beauty contest, incentives

12.

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 Central Bank (ECB)
Downloads 85 (369,999)
Citation 1

Abstract:

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RIA, impact assessment, regulation, bank, public consultation

13.

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 Central Bank (ECB)
Downloads 44 (511,870)
Citation 17

Abstract:

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

14.

Applying the Precommitment Approach to Bottom-Up Stress Tests: A New Old Story

EBA Staff Papers N. 5 – 01/2020
Number of pages: 22 Posted: 14 Apr 2020
Simone Casellina, Giuseppe Pandolfo and Mario Quagliariello
Bank of Italy, IVASS and European Central Bank (ECB)
Downloads 24 (622,218)

Abstract:

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de Finetti penalty; principal-agent problem; pre-commitment approach; stress test; supervision

15.

Applying the Pre-Commitment Approach to Bottom-Up Stress Tests: A New Old Story

European Banking Authority Research Paper No. 5
Number of pages: 22 Posted: 17 Dec 2020
Simone Casellina, Giuseppe Pandolfo and Mario Quagliariello
European Banking Authority, IVASS and European Central Bank (ECB)
Downloads 21 (643,191)
Citation 1

Abstract:

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de Finetti penalty, principal-agent problem, pre-commitment approach, stress test, supervision

16.

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 Central Bank (ECB)

Abstract:

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Basel 2, Financial Crisis, Regulation