Roberta Fiori

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 45,229

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1,137

SSRN CITATIONS
Rank 18,830

SSRN RANKINGS

Top 18,830

in Total Papers Citations

5

CROSSREF CITATIONS

49

Scholarly Papers (5)

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 652 (46,826)
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
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 309 (114,790)

Abstract:

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Credit risk, common latent factors, systemic risk, contagion

3.

On the Interaction between Market and Credit Risk: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

Bank of Italy Temi di Discussione (Working Paper) No. 779
Number of pages: 43 Posted: 22 Mar 2011
Roberta Fiori and Simonetta Iannotti
Bank of Italy and Bank for International Settlements (BIS)
Downloads 110 (287,555)
Citation 23

Abstract:

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FAVAR approach, credit risk, market risk, factor model

4.

A Note on the Implementation of the Countercyclical Capital Buffer in Italy

Bank of Italy Occasional Paper No. 278
Number of pages: 38 Posted: 25 Aug 2015
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 58 (418,702)
Citation 11

Abstract:

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countercyclical capital buffer, financial cycle, credit cycle, macroprudential policy, capital requirements, banks, banking crises

5.

Should the CCyB Be Enhanced with a Sectoral Dimension?

Bank of Italy Occasional Paper No. 499, June 2019
Number of pages: 41 Posted: 10 Aug 2019
Roberta Fiori and Claudia Pacella
Bank of Italy and Bank of Italy
Downloads 8 (685,743)

Abstract:

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credit cycle, sectoral decomposition, synchronicity, cyclical systemic risk