Bibliografia

Bibliografia
Acerbi C., Tasche D. (2001), Expected Shortfall: A Natural Coherent Alternative to Value at
Risk, mimeo, Muenchen, Zentrum Mathematik (SCA) TU Muenchen.
Acharya V.V., Bharath S.T., Srinivasan A. (2007), «Does Industry-wide Distress Affect
Defaulted Firms? Evidence from Creditor Recoveries», Journal of Financial Economics,
85(3), 787-821.
Alexander C. (1996), The Handbook of Risk Management and Analysis, Chichester, John
Wiley & Sons.
Alexander C., Pezier J. (2003), On the Aggregation of Market and Credit Risks, ICMA
Centre Discussion Papers in Finance, October.
Altman E., Kao D.L. (1992), «The Implications of Corporate Bond Ratings Drift»,
Financial Analyst Journal, May/June, pp. 64-75.
Altman E.I., Resti A., Sironi A. (2005), «Default and Recovery Rates in Credit Risk
Modelling», Journal of Finance Literature, vol. 1, pp. 21-45.
Altman E.I., Resti A., Sironi A. (2005), Recovery Risk – The Next Challenge in Credit Risk
Management, London, Risk Books.
Altman E.I. (1968), «Financial Ratios, Discriminant Analysis and the Prediction of
Corporate Bankruptcy», Journal of Finance, September, pp. 589-609.
Altman E.I. (1989), «Measuring Corporate Bond Mortality and Performance», Journal of
Finance, 44, pp. 909-922.
Altman E.I., Avery R.B., Eisenbeis R.A., Sinkey J.F. (1981), Application of Classification
Techniques in Business, Banking and Finance, Greenwich (CT), JAI Press.
Altman E.I., Brady B., Resti A., Sironi A. (2005), «The Link Between Default and
Recovery Rates: Theory, Empirical Evidence and Implications», Journal of Business,
vol. 78, n. 6.
Altman E.I., Caouette J., Narayanan P. (1998), Managing Credit Risk: The Next Great
Financial Challenge, New York, John Wiley and Sons.
Altman E.I., Kishore V.M. (1996), «Almost Everything You Wanted to Know about
Recoveries on Defaulted Bonds», Financial Analysts Journal, November-December.
Altman E.I., Resti A., Sironi A. (2001), Analyzing and Explaining Default and Recovery
Rates, mimeo, London, International Swaps and Derivatives Dealers Association.
Altman E.I., Saunders A. (2001), «An Analysis and Critique of the BIS Proposal on Capital
Adequacy and Ratings», Journal of Banking & Finance, vol. 25.
Aon Risk Services (1999), «Enterprise Risk Management/part II», AON Insights (Aon
Corporation), 4.
908
Rischio e valore nelle banche
Arak M. (1992), «The Effect of the New Risk-Based Capital Requirements on the Market
for Swaps», Journal of Financial Services Research, 6.
Araten M. Jr., Jacobs M. (2001), «Loan Equivalents for Revolving Credit and Advised
Lines», The RMA Journal, May, pp. 34-39.
Artzner P.F., Delbaen F., Eber J.M., Heath D. (1999), «Definition of Coherent Measures of
Risk», Mathematical Finance, 9, July, pp. 203-228.
Asarnow E., Marker J. (1995), «Historical Performance of the U.S. Corporate Loan Market:
1988-1993», Journal of Commercial Bank Lending, Spring, pp. 13-32.
Banca d’Italia (2001), «Principali risultati della rilevazione sull’attività di recupero dei
crediti», Bollettino Economico, dicembre.
Banca d’Italia (2002), La Centrale dei Rischi nella gestione del credito: esperienze e
prospettive, Tematiche Istituzionali, Roma, Banca d’Italia.
Banca d’Italia (2006), Nuove disposizioni di vigilanza per le banche, Circolare n. 263 del
27 dicembre, Roma, Banca d’Italia.
Bangia A., Diebold F.X., Schuermann T., Stroughair J.D. (1998), Modeling Liquidity Risk –
With Implications for Traditional Market Risk Measurement and Management, Working
papers, Philadelphia, University of Pennsylvania.
Bank of England and Federal Reserve Board (1987), Convergence of Capital Adequacy in
the United Kingdom and the United States, London-Washington, Bank of England and
Federal Reserve Board.
Barone-Adesi G., Borgoin F., Giannopoulos K. (1998), «Don’t Look Back», Risk, 11, pp.
100-104.
Barone-Adesi G., Giannopoulos K. (1996), «A Simplified Approach to the Conditional
Estimation of Value at Risk», Futures and Options World, October, pp. 68-72.
Barone-Adesi G., Giannopoulos K., Vosper L. (1998), «VaR Without Correlations for NonLinear Portfolios», Journal of Futures Markets, 19, pp. 583-602.
Basel Committee on Banking Supervision (1986), Report on International Developments in
Banking Supervision, 5, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (1987), Proposals for the International
Conergence of Capital Measurement and Capital Standards, Basel, Bank for
International Settlements.
Basel Committee on Banking Supervision (1988), International Convergence of Capital
Measurement and Capital Standards, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (1993a), The Prudential Supervision of Netting,
Market Risks and Interest Rate Risk – Consultative Proposal, Basel, Bank for International
Settlements.
Basel Committee on Banking Supervision (1993b), The Supervisory Treatment of Market
Risks – Consultative Proposal, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (1995), Basel Capital Accord: Treatment of
Potential Exposure for Off-Balance Sheet Items, Basel, Bank for International
Settlements.
Basel Committee on Banking Supervision (1996), Amendment to the Capital Accord to
Incorporate Market Risks, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (1998), Enhancing Bank Transparency, Basel,
Bank for International Settlements.
Basel Committee on Banking Supervision (1999a), «Capital Requirements and Bank
Behaviour: The Impact of the Basel Accord», Working paper, 1, Basel, Bank for
International Settlements.
Bibliografia
909
Basel Committee on Banking Supervision (1999b), A New Capital Adequacy Framework,
Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2000a), Credit Rating and Complementary Sources
of Credit Quality Information, Working paper, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2000b), Principles for the Management of
Credit Risk, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2000c), Range of Practices in Banks’ Internal
Rating Systems, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2001a), Overview of the New Basel Capital
Accord – Consultative Document, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2001b), The New Basel Capital Accord –
Consultative Paper, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2001c), Working Paper on the Regulatory
Treatment of Operational Risk, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2003a), Prassi corrette per la gestione e il
controllo del rischio operativo, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2003b), The 2002 Loss Data Collection Exercise for
Operational Risk: Summary of the Data Collected, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2003c), The New Basel Capital Accord –
Consultative Document, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2003d), Trends in Risk Integration and
Aggregation, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2004), Principles for the Management and
Supervision of Interest Rate Risk, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2005), Studies on the Validation of Internal
Rating Systems, Working paper, 14, Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2006a), International Convergence of Capital
Measurement and Capital Standards – A Revised Framework – Comprehensive Version,
Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2006b), Results of the Fifth Quantitative Impact
Study (QIS 5), Basel, Bank for International Settlements.
Basel Committee on Banking Supervision (2006c), Studies on Credit Risk Concentration,
Working paper, 15, Basel, Bank for International Settlements.
Beaver W. (1967), «Financial Ratios as Predictors of Failures», Empirical Research in
Accounting: Selected Studies – 1966, supplemento al Journal of Accounting Research, 4,
pp. 71-111.
Beder T.S. (1995), «VaR: Seductive but Dangerous», Financial Analyst Journal, SeptemberOctober, pp. 12-24.
Berkowitz J. (2001), «Testing Density Forecasts, Applications to Risk Management»,
Journal of Business and Economic Statistics, 19, pp. 465-474.
Black F., Cox J.C. (1976), «Valuing Corporate Securities: Some Effects of Bond Indenture
Provisions», Journal of Finance, 31, pp. 351-367.
Black F., Scholes M. (1973), «The Pricing of Options and Corporate Liabilities», Journal of
Political Economy, pp. 637-659.
Blattberg R., Gonedes N. (1974), «A Comparison of the Stable and Student as Statistical
Models for Stock Prices», Journal of Business, April.
Bohn J., Kealhofer S. (2001), Portfolio Management of Default Risk, Working paper, San
Francisco, KMV.
910
Rischio e valore nelle banche
Bollerslev T. (1986), «Generalized Autoregressive Conditional Heteroskedasticity», Journal
of Econometrics, 31, pp. 307-327.
Boudoukh J., Richardson M., Whitelaw R. (1998), «The Best of Both Worlds», Risk, May,
pp. 64-67.
Bouyé E., Durrleman V., Nikeghbali A., Riboulet G., Roncalli T. (2000), Copulas for
Finance: A Reading Guide, Paris, Crédit Lyonnais.
Brealey R.A., Myers S.C. (2000), Principles of Corporate Finance, 6th edition, New York,
McGraw-Hill.
Breimann L., Friedmann J.H., Olshen R.A., Stone C.J. (1983), Classification and
Regression Trees, Wadsworth Publishers.
Brunnermeier M.K., Pedersen L. (2006), Market Liquidity and Funding Liquidity, Working
paper non pubblicato.
Calem P.S., Follain J.R. (2003), The Asset-Correlation Parameter in Basel II for Mortgages
on Single-Family Residences, mimeo, Washington, Federal Reserve Board.
Cannata F. (2007), Il rischio di credito in Basilea 2: il metodo dei rating interni, Roma,
Bancaria.
Cantor R., Packer F. (1994), «The Credit Rating Industry», Quarterly Review, Federal
Reserve Bank of New York, vol. 19, n. 2.
Carey M., Treacy W.F. (2000), «Credit Risk Ratings at Large US Banks», Journal of
Banking and Finance, 24, pp. 167-201.
Carty L., Lieberman D. (1996), Corporate Bond Defaults and Default Rates 1938-1995,
Global Credit Research, New York, Moody’s Investors Service.
Carty L.V. (1998), «Moody’s Rating Migration and Credit Quality Correlation, 1920-1996»,
in Das S., Credit Derivatives: Trading & Management of Credit & Default Risk, New
York, John Wiley & Sons.
Caselli S., De Laurentis G. (2006), Basilea 2, miti e verità, Milano, Egea.
Chew L. (1994), «Shock Treatment», Risk, vol. 7, n. 9, September.
Chew L., Gumerlock R. (1993), «When the Snoozing Had to Stop», Risk, vol. 6, n. 9,
September.
Chew W.H., Kerr S.S. (2005), «Recovery Ratings: A Fundamental Approach to Estimating
Recovery Risk», in Altman E.I., Resti A., Sironi A., Recovery Risk – The Next Challenge
in Credit Risk Management, London, Risk Books.
Christoffersen P.F. (1998), «Evaluating Interval Forecasts», International Economic Review,
39, November, pp. 841-862.
Christoffersen P.F. (2003), Elements of Financial Risk Management, Academic Press,
Elsevier Science.
Clow R. (1999), «Who’s Afraid of Contingent Capital? – The Insurance Industry Doesn’t
Mind Braving Hurricanes and Typhoons. Equity Options are Another Story», Institutional
Investor Magazine, March.
Committee of European Banking Supervisors (2007), Quantitative Analysis of Eligible Own
Funds in the EEA, London, Committee of European Banking Supervisors.
Cornish E., Fisher R. (1937), «Moments and Cumulants in the Specification of Distributions»,
Review of the International Statistical Institute, pp. 307-320.
Credit Suisse Financial Products (1997), CreditRisk+. A Credit Risk Management
Framework, Technical document, London, Credit Suisse Financial Products.
Crnkovic C., Drachman J. (1996), «Quality Control», Risk, September, pp. 138-143.
Crouhy M., Galai D., Mark R. (2000), Risk Management, New York, McGraw-Hill.
Bibliografia
911
Crouhy M., Galai D., Mark, R. (2006), The Essentials of Risk Management, New York,
McGraw-Hill.
Crouhy M., Turnbull S., Wakeman L. (1999), «Measuring Risk-Adjusted Performance»,
The Journal of Risk, vol. 2, n. 1, pp. 1-31.
Cruz M. (2002), Modeling, Measuring and Hedging Operational Risk, Chichester, John
Wiley & Sons.
Danielsson J., De Vries C.G. (1997), Multivariate stochastic volatility models: estimation
and a comparison with VGARCH models, mimeo, Department of Economics, University
of Iceland.
De Fontnouvelle P., DeJesus-Rueff V., Jordan J., Rosengren E. (2003), Using Loss Data to
Quantify Operational Risk, Boston, Federal Reserve Bank of Boston.
De Laurentis G., Di Giuli A. (2004), «I sistemi di assegnazione del rating: analisi
comparata e implicazioni delle scelte delle principali banche italiane», in De Laurentis
G., Saita F., Sironi A. (a cura di), Rating interni e controllo del rischio di credito.
Esperienze, problemi, soluzioni, Roma, Bancaria.
De Servigny A., Peretyatkin V., Perraudin W., Renault O. (2003), Portfolio Risk Tracker:
Description of the Methodology, Technical document, New York, Standard & Poor’s Risk
Solutions.
De Servigny A., Renault O. (2004), Measuring and Managing Credit Risk, McGraw-Hill,
New York.
Diebold F., Hickman A., Inoue A., Schuermann T. (1997), «Converting 1-Day Volatility to
h-Day Volatility: Scaling by his Worse than You Think», Wharton School Working Paper
Series, 34.
Diebold F.X., Gunther T., Tay A. (1998), «Evaluating Density Forecasts, with Applications
to Financial Risk Management», International Economic Review, 39, pp. 863-883.
Doherty N.A. (1997), «Financial Innovation in the Management of Catastrophe Risk»,
Journal of Applied Corporate Finance, vol. 10, n. 3, pp. 84-95.
Dowd K. (1998), Beyond Value at Risk: The New Science of Risk Management, New York,
John Wiley & Sons.
Dowd K. (2002), Measuring Market Risk, Chichester, John Wiley & Sons.
Duellman K., Scheicher M., Schmieder C. (2006), Asset Correlations and Credit Portfolio
Risk: An Empirical Analysis, mimeo, Frankfurt, Deutsche Bundesbank.
Duellmann K., Scheule H. (2003), Asset Correlation of German Corporate Obligors – Its
Estimation, Its Drivers and Implications for Regulatory Capital, mimeo, Frankfurt,
Deutsche Bundesbank.
Duffie D. (1998), Defaultable Term Structure Models with Fractional Recovery of Par,
mimeo, Graduate School of Business, Stanford University.
Duffie D., Singleton K.J. (1999), «Modeling the Term Structures of Defaultable Bonds»,
Review of Financial Studies, 12, pp. 687-720.
Durand D. (1941), Risk Elements in Consumer Instalments Financing, Working paper,
NBER, National Bureau of Economic Research.
Embrechts P., Klupperlberg C., Mikosch T. (1997), Modelling Extreme Events for Insurance
and Finance, Berlin, Springer Verlag.
Embrechts P., McNeil A.J., Straumann D. (2002), «Correlation and Dependence in Risk
Management: Properties and Pitfalls», in Dempster M., Risk Management: Value at Risk
and Beyond, Cambridge, Cambridge University Press.
Engelmann B., Hayden E., Tasche D. (2002), «Measuring the Discriminative Power of
Rating Systems», mimeo.
912
Rischio e valore nelle banche
Engelmann B., Hayden E., Tasche D. (2003), «Testing Rating accuracy», Risk, vol. 16,
January.
Engle R.F. (1982), «Autoregressive Conditional Heteroschedasticity with Estimates of the
Variance of United Kingdom Inflation», Econometrica, vol. 50, n. 4, pp. 987-1008.
English W.B., Nelson W.R. (1998), Bank Risk Rating of Business Loans, Finance and
Economics Discussion Series, Washington D.C., Federal Reserve Board.
Ferrari P. (2002), «La gestione del capitale: un’analisi comparata della struttura del
patrimonio delle principali banche internazionali», in Sironi A., Saita F. (a cura di),
Gestione del capitale e creazione di valore nelle banche: profili teorici ed esperienze
delle principali banche italiane, Roma, Bancaria.
Figlewski S. (1994), Forecasting Volatility Using Historical Data, New York University
Salomon Center.
Financial Services Authority (2003), Liquidity Risk in the Integrated Prudential
Sourcebook: A Quantitative Frameworkd, London, FSA.
Finger C. (2001), «The One-Factor Creditmetrics Model in the New Basel Capital Accord»,
RiskMetrics Journal, vol. 2, n. 1.
Fisher I. (1965), The Theory of Interest (reprinted from the 1930 edition), New York,
August M. Kelley Publishers.
Fisher R. (1936), «The Use of Multiple Measurements in Taxonomic Problems», Annals of
Eugenics, 7, pp. 179-188.
Fitchratings (2005), Bank Hybrid and Preferred Securities: Evaluating Their Role in
Capital Analysis, Criteria Report, New York, Fitchratings.
Flannery M.J. (1998), «Using Market Information in Prudential Bank Supervision: A Review
of the U.S. Empirical Evidence», Journal of Money, Credit and Banking, 30, pp. 273-305.
Flannery M.J. (2001), «The Faces of Market Discipline», Journal of Financial Services
Research, vol. 19, n. 2/3.
Fons J.S. (1994), «Using Default Rates to Model the Term Structure of Credit Risk»,
Financial Analyst Journal, September-October.
Froot K.A., Stein J.C. (1998), «Risk Management, Capital Budgeting, and Capital Structure
Policy for Financial Institutions: An Integrated Approach», Journal of Financial
Economics, 47, pp. 55-82.
Frye J. (2000a), «Depressing Recoveries», Risk, November.
Frye J. (2000b), «Collateral Damage», Risk, April.
Frye J. (2000c), «Collateral Damage Detected», Working paper, Emerging Issues Series,
Chicago, Federal Reserve Bank of Chicago.
Gabbi G. (1999), «L’utilizzo delle reti neurali per la misurazione del rischio di credito», in
Sironi A., Marsella M., La misurazione e la gestione del rischio di credito. Modelli
strumenti e politiche, Roma, Bancaria.
Gabbi G., Sironi A. (2005), «Which Factors Affect Corporate Bonds Pricing? Empirical
Evidence from Eurobonds’ Primary Market Spreads», The European Journal of Finance,
vol. 11, n. 1, pp. 59-74.
Gallati R.R. (2003), Risk Management and Capital Adequacy, New York, McGraw-Hill.
Generale A., Gobbi G. (1996), «Il recupero dei crediti: costi, tempi e comportamenti delle
banche», Temi di Discussione, 151, Roma, Banca d’Italia.
Geske R. (1977), «The Valuation of Corporate Liabilities as Compound Options», Journal
of Financial and Quantitative Analysis, 12, pp. 541-552.
Bibliografia
913
Goodhart C. (2002), «The Operational Risk Issue», in SUERF-CSFI, Bumps on the Road to
Basel – An Anthology of Views on Basel 2, London, Centre for the Study of Financial
Innovation.
Gordon M. (1962), The Investment, Financing and Valuation of the Corporation, New York,
Irwin & Co.
Gordy M.B. (2003), «A Risk-Factor Model Foundation for Ratings-Based Bank Capital
Rules», Journal of Financial Intermediation, 12, pp. 199-232.
Gourieroux C., Laurent J.P., Scaillet O. (2000), «Sensitivity Analysis of Values at Risk»,
Journal of Empirical Finance, pp. 225-245.
Greene W. (2003), Econometric Analysis, Upper Saddle River, Prentice-Hall.
Group of Thirty (1993), Derivatives: Practices and Principles, Washington D.C., Global
Derivative Study Group.
Gumerlock R. (1993), «Double Trouble», Risk, vol. 6, n. 9, September.
Gupton G.M., Finger C.C., Bhatia M. (1997), CreditMetrics – Technical Document, New
York, J.P. Morgan.
Gupton G.M., Gates D., Carty L.V. (2000), «Bank Loan Loss Given Default», Moody’s
Investors Service, New York, Global Credit Research.
Gupton G.M., Stein R.M. (2002), «LossCalc: Moody’s Model for Predicting Loss Given
Default (LGD)», Moody’s Investors Service, New York.
Hagmann M., Renault O., Scaillet O. (2005), «Estimation of Recovery Rate Densities: Nonparametric and Semi-parametric Approaches versus Industry Practice», in Altman E.,
Resti A., Sironi A., Recovery Risk: The next Challenge in Credit Risk Management,
London, Risk Books.
Hall C. (2002), «Economic Capital: Towards and Integrated Risk Framework», Risk,
October, pp. 33-38.
Hamilton D.T., Cantor R., Ou S. (2002), «Default and Recovery Rates of Corporate Bond
Issuers: A Statistical Review of Moody’s Ratings Performance 1970-2001», Moody’s
Investors Service, New York, Global Credit Research.
Heldring O. (1995), «Alpha Plus», Risk, vol. 8, n. 1, January.
Hendricks D. (1994), «Netting Agreements and the Credit Exposures of OTC Derivatives
Portfolios», Federal Reserve Bank of New York Quarterly Review, Spring.
Hendricks D. (1996), «Evaluation of Value-at-Risk Models Using Historical Data»,
Economic Policy Review, Federal Reserve Bank of New York, vol. 2, n. 1, pp. 39-69.
Hicks J.R. (1946), Value and Capital, Oxford, Clarendon Press.
Holland J.H. (1975), Adaptation in Natural and Artificial Systems, Ann Harbor, University
of Michigan Press.
Hu Y.T., Perraudin W. (2002), The Dependence of Recovery Rates and Defaults, mimeo,
London, BirkBeck College.
Hull J. (2006), Opzioni, futures e altri derivati (tr. it. Barone E.), Milano, Pearson Italia.
Hull J., White A. (1998a), «Incorporating Volatility Updating into the Historical Simulation
Method for Value at Risk», Journal of Risk, 1, pp. 5-19.
Hull J., White A. (1998b),«Value at Risk when Daily Changes in Market Variables are not
Normally Distributed», Journal of Derivatives, 5, pp. 9-19.
Institute of International Finance (2007), Principles of Liquidity Risk Management,
Washington, Institute of International Finance.
Jackson P. (1995), «Risk Measurement and Capital Requirements for Banks», Bank of
England Quarterly Bulletin, May.
914
Rischio e valore nelle banche
James C. (1996), «RAROC Based Capital Budgeting and Performance Evaluation: A Case
Study of Bank Capital Allocation», Working paper, Financial Institutions Center.
Jamshidian F., Zhu Y. (1997), Scenario simulation: theory and methodology, Finance and
Stochastics, vol. 1, pp. 43-67.
Jarrow R.A., Lando D., Turnbull S.M. (1997), «A Markov Model for the Term Structure of
Credit Risk Spreads», Review of Financial Studies, 10, pp. 481-523.
Jarrow R.A., Turnbull S.M. (1995), «Pricing Derivatives on Financial Securities Subject to
Credit Risk», Journal of Finance, 50, pp. 53-86.
Jarrow R.A., van Deventer D.R. (1998), «The Arbitrage-free Valuation and Hedging of
Demand Deposits and Credit Card Loans», Journal of Banking and Finance, vol. 22, n.
3, pp. 249-272.
Joint Forum Working Group (2003), Trends in Risk Integration and Aggregation, Basel,
Bank for International Settlements.
Jordan J.V., Mackay R.J. (1996), «Assessing Value at Risk for Equity Portfolios:
Implementing Alternative Techniques», in Beckstrom H.C., Fabozzi F. (a cura di),
Handbook of Firmwide Risk Management.
Jorion P. (1997), «In defense of VaR», mimeo, University of California Irvine
www.gsm.uci.edu/~jorion.
Jorion P. (2003), Financial Risk Manager Handbook, Hoboken, Wiley & Sons.
Kealhofer S., Kwok S., Weng W. (1998), «Uses and abuses of bond default rates»,
CreditMetrics Monitor, First Quarter, pp. 37-54.
Kim I.J., Ramaswamy K., Sundaresan S. (1993), «Does Default Risk in Coupons Affect the
Valuation of Corporate Bonds? A Contingent Claims Model», Financial Management,
vol. 22, n. 3, pp. 117-131.
Kimber A. (2004), Credit Risk – From Transaction to Portfolio Management, Oxford,
Elsevier Butterworth-Heinemann.
Knight F.H. (1986), «Risk, Uncertainty and Profit», in Aa.Vv., The Economic Nature of the
Firm, University Press, Cambridge.
Koch T.W. (1992), Bank Management, II ed., The Dryden Press, Harcourt Brace Jovanovich
College Publishers, Orlando, Florida.
Kolari J., Caputo M., Wagner D. (1996), «Trait Recognition: An Alternative Approach to
Early Warning Systems in Commercial Banking», Journal of Business Finance and
Accounting, December, pp. 1415-34.
Kupiec P.H. (2000), Estimating Credit Risk Capital: What’s the Use?, Working paper,
International Monetary Fund.
Kupiec P.H. (1995), «Techniques for Verifying the Accuracy of Risk Measurement
Models», Journal of Derivatives, Winter, pp. 73-84.
Kupiec P.H., O’ Brien M.J. (1995), A Precommitment Approach to Capital Requirements for
Market Risk, Federal Reserve Board of Governors, Finance and Economic Discussion
Series, n. 95-36, Washington D.C.
Lando D. (1998), «On Cox Processes and Credit Risky Securities», Review of Derivatives
Research, 2, pp. 99-120.
Liu S., Lu J.C., Kolpin D.W., Meeker W.Q. (1997), «Analysis of Environmental Data With
Censored Observations», Environmental Science & Technology, 31.
Longin F. (1994), Optimal Margin Levels in Futures Markets: a Parametric Extreme-based
Method, Working paper, Institute of Finance and Accounting, London Business School,
pp. 192-194.
Longstaff F.A., Schwartz E.S. (1995), «A Simple Approach to Valuing Risky Fixed and
Floating Rate Debt», Journal of Finance, 50, pp. 789-819.
Bibliografia
915
Lopez J.A. (1999), «Methods for Evaluating Value at Risk Estimates», Federal Reserve
Bank of San Francisco Economic Review, 2.
Lopez J.A. (2002), «The Empirical Relationship Between Average Asset Correlation, Firm
Probability of Default and Asset Size», Working papers in Applied Economic Theory,
Federal Reserve Bank of San Francisco, 5.
Maino R., Masera R. (2003), Sistema produttivo e industria bancaria in Italia: nuovi assetti
competitivi nella prospettiva di Basilea 2, mimeo, Torino, Sanpaolo IMI.
Malagutti V., Onado M. (2005), «Andava a piedi da Lodi a Lugano – Storia della scalata
alla banca Antonveneta», Mercato concorrenza regole, vol. VII, n. 2, pp. 331-375.
Malevergne Y., Sornette D. (2006), Extreme Financial Risks – From Dependence to Risk
Management, Berlin, Springer Verlag.
Mancinelli L. (2005), «L’assegnazione di rating da parte delle agenzie: significato,
implicazioni e principali aspetti critici», Bancaria, 3.
Markham J.W. (2002), A Financial History of the United States, Armonk M.E., Sharpe.
Markowitz H. (1952), «Portfolio Selection», Journal of Finance, 7, pp. 77-91.
Marshall C., Siegel M. (1997), «Value at Risk: Implementing a Risk Measurement
Standard», Journal of Derivatives, 4, pp. 91-110.
Martin R., Wilde T. (2002), «Unsystematic Credit Risk», Risk, November, pp. 123-128.
Maspero D. (1997), «I modelli VaR basati sulle simulazioni», in Sironi A., Marsella M., La
misurazione e la gestione dei rischi di mercato. Modelli, strumenti, politiche, Bologna, Il
Mulino.
Maspero D. (1998), «Il rischio di credito nei derivati OTC», in Sironi A., Marsella M., La
misurazione e la gestione del rischio di credito. Modelli, strumenti e politiche, Roma,
Bancaria.
Matten C. (2000), Managing Bank Capital, II ed., New York, John Wiley.
Matz L., Neu P. (2007), Liquidity Risk. Measurement and Management. A Practitioner’s
Guide to Global Best Practices, Chichester, John Wiley & Sons.
Merton R., Perold A. (1993), «Theory of Risk Capital in Financial Firms», Journal of
Applied Corporate Finance, vol. 6, n. 3, pp. 16-32.
Merton R.C. (1974), «On the Pricing of Corporate Debt: The Risk Structure of Interest
Rates», Journal of Finance, pp. 449-471.
Mina J., Xsiao J.Y. (2001), Return to Riskmetrics: The Evolution of a Standard, New York,
Riskmetrics Group.
Models Task Force on Internal Credit Risk (1998), Credit Risk Models at Major U.S.
Banking Institutions: Current State of the Art and Implications for Assessment of Capital
Adequacy, Washington, Federal Reserve System.
Modigliani F., Sutch R. (1966), «Innovations in Interest Rate Policy», The American
Economic Review, 56, pp. 178-97.
Moody’s Investors Service (2007), «Corporate Default and Recovery Rates, 1920-2006»,
New York, Global Credit Research.
Moral G. (2006), «EAD Estimates for Facilities with Explicit Limits», in Engelmann B.,
Rauhmeier R., The Basel II Risk Parameters: Estimation, Validation and Stress Testing,
Berlin, Springer-Verlag.
Morgan J.P. (1996), RiskMetrics – Technical Document – 4th ed., New York.
Moscadelli M. (2004), «The Modelling of Operational risk: Experience with the Analysis of
the Data Collected by the Basel Committee», Temi di Discussione, 517, Roma, Banca
d’Italia.
916
Rischio e valore nelle banche
Nelsen R.B. (1998), An Introduction to Copulas, New York, Springer-Verlag.
Oddo G., Pons G. (2005), L’intrigo - banche e risparmiatori nell’era Fazio, Milano,
Feltrinelli.
Oliver Wyman & Co. (2001), Study on the Risk Profile and Capital Adequacy of Financial
Conglomerates, De Nederlandsche Bank, Pensioen & Verzekeringskamer, Stichting
Toezicht Effectenverkeer, Nederlandse Vereniging van Banken.
Pettway R.H., Kanedo T., Young M.T. (1991), «International Bank Capital Standards and
the Costs of Issuing Capital Securities by Japanese banks», Journal of Banking &
Finance, 15, pp. 559-580.
Pomante U. (1999), «I modelli basati sugli algoritmi genetici», in Sironi A., Marsella M.,
La misurazione e la gestione del rischio di credito. Modelli strumenti e politiche, Roma,
Bancaria.
Pritsker M. (2001), The Hidden Dangers of Historical Simulations, Washington, The
Federal Reserve Board.
Radford J. (2003), «Databases scramble to completion», Operational Risk, vol. 4, n. 6.
Renault O., Scaillet O. (2004), «On the Way to Recovery: A Non-parametric, Bias-free
Estimation of Recovery Rate Densities», Journal of Banking and Finance, 28, pp. 29152931.
Resti A. (2002), «Replicating Agency Ratings through Multinomial Scoring Models», in
Ong M., Credit Ratings. Methodologies, Rationale and Default Risk, London,
RiskBooks.
Resti A. (1997), «La gestione denaro delle banche tra minori margini e nuovi rischi», in
Resti A., La sfida della redditività bancaria, 190, Bologna, Il Mulino.
Resti A. (2001), Misurare e gestire il rischio di credito nelle banche: una guida
metodologica, Milano, Alpha Test.
Resti A. (2004), «Rating e operatività delle filiali: strumenti e prassi per mettere a profitto il
sistema», in De Laurentis G., Saita F., Sironi A., Rating interni e controllo del rischio di
credito – Esperienze, problemi, soluzioni, Roma, Bancaria.
Resti A., Sironi A. (2007), «The Risk-weights in the New Basel Capital Accord: Lessons
from Bond Spreads Based on a Simple Structural Model», Journal of Financial
Intermediation, vol. 16, n. 1, pp. 64-90.
Roehr A. (2002), «Modelling Operational Losses», Algo Research Quarterly.
Rogalski R., Vinso J. (1978), «Empirical Properties of Foreign Exchange Rates», Journal of
International Business Studies, Fall.
Saita F. (2000), Il risk management in banca, Milano, Egea.
Saita F. (2007), Value at Risk and Bank Capital Management (2007), Amsterdam, Academic
Press – Elsevier.
Saita F., Sironi A. (2002), «Banks’ Market Risk Management and Capital Regulation: A
Critical Assessment», in Lyn E.O., Papaioannou G.P.J. (a cura di), Financial Services in
the Evolving Global Marketplace, New York, Hofstra University.
Schuermann T. (2005), «What Do We Know about Loss Given Default?», in Altman E.I.,
Resti A., Sironi A., Recovery Risk – The Next Challenge in Credit Risk Management,
London, Risk Books.
Shi J., Samad-Khan A., Medapa P. (2000), «Is the Size of an Operational Loss Related to
Firm Size?», Operational Risk, January.
Simons K. (1989), «Measuring Credit Risk in Interest Rate Swaps», New England
Economics Review, November-December, pp. 29-38.
Bibliografia
917
Sironi A. (2001), «An Analysis of European Banks Subordinated Debt Issues and Its
Implications for a Mandatory Subordinated Debt Policy», Journal of Financial Services
Research, vol. 19, n. 2/3.
Sironi A. (2002), «Strengthening Banks’ Market Discipline and Levelling the Playing Field:
Are the Two Compatible?», Journal of Banking and Finance, vol. 26, n. 5, pp. 1065-1092.
Sironi A. (2003), «Testing for Market Discipline in the European Banking Industry:
Evidence from Subordinated Debt Issues», Journal of Money, Credit and Banking, 35,
pp. 443-472.
Sironi A. (2005), Gestione del rischio e allocazione del capitale nelle banche, Milano,
Egea, 1996.
Sironi A. (2005), Rischio e valore nelle banche, Milano, Egea.
Sironi A., Zazzara C. (2002), «The New Basel Accord: Implications for Italian Banks»,
Review of Financial Economics, vol. 12, n. 1, pp. 99-126.
Smith R.L. (1989), «Extreme Value Analysis of Environmental Time Series: An Application
to Trend Detection in Ground-level Ozone», Statistical Science, pp. 367-393.
Smithson C. (2003), Credit Portfolio Management, Hobken, NJ, John Wiley & Sons.
Sobehart J., Keenan S. (2001), «Measuring Default Accurately», Risk, vol. 11, n. 41, pp.
31-33.
Sobehart J., Keenan S. (2004), «The score for credit», Risk, vol. 17, n. 2, February.
Standard and Poor’s (1998), Rating Performance 1997: Stability & Transition, New York,
Standard and Poor’s.
Standard and Poor’s (2003), Corporate Ratings Criteria, New York, Standard and Poor’s.
Taleb N. (1997), «Against Value at Risk: Nassim Taleb replies to Philippe Jorion», mimeo.
Tasche D. (2000), Conditional Expectation as Quantile Derivative, Muenchen, Zentrum
Mathematik, Technische Univesitaet Muenchen.
Tasche D. (2003), A Traffic Lights Approach to PD Validation, mimeo, Deutsche
Bundesbank.
Tasche D. (2004), «Allocating Portfolio Economic Capital to Sub-Portfolios», in Dev A.,
Economic Capital – A Practitioner Guide, London, Risk Books.
The Institute of the Chief Risk Officers – Chief Risk Officer Forum (2007), Insights from
the Joint IFRI/CRO Forum Survey on Economic Capital Practice and Applications,
Geneva, IFRI Foundation.
The Joint Forum (2006), The Management of Liquidity Risk in Financial Groups, Basel,
Bank for International Settlements.
Trucharte A.C. (2004), A Review of Credit Registers and Their use for Basel II, mimeo,
Basel, Financial Stability Institute, Bank for International Settlements.
Unione Europea (2006a), «Direttiva 2006/48/CE del 14 giugno 2006 relativa all’accesso
all’attività degli enti creditizi ed al suo esercizio (rifusione)», Gazzetta ufficiale
dell’Unione europea, 30 giugno 2006, pp. 1-200.
Unione Europea (2006b), «Direttiva 2006/49/CE del Parlamento Europeo e del Consiglio
Europeo del 14 giugno 2006 relativa all’adeguatezza patrimoniale delle imprese di
investimento e degli enti creditizi (rifusione)», Gazzetta Ufficiale dell’Unione Europea,
30 giugno 2006, pp. 201-255.
Unione Europea (1989), «Seconda direttiva di coordinamento delle disposizioni legislative,
regolamentari e amministrative riguardanti l’accesso all’attività creditizia e il suo
esercizio, direttiva n. 647 del 15 dicembre 1989», Gazzetta Ufficiale dell’Unione
Europea.
918
Rischio e valore nelle banche
Uyemura G.D., Van Deventer D.R. (1993), Financial Risk Management in Banking,
Cambridge, Probus Publishing Company.
Van de Castle K., Keisman D. (1999), Recovering Your Money: Insights Into Losses from
Defaults, Report, New York, Standard & Poor’s.
Vasicek O.A. (1984), Credit Valuation, mimeo, San Francisco, KMV Corporation.
Wagster J.D. (1996), «Impact of the 1988 Basle Accord on International Banks», Journal of
Finance, 51, pp. 1321-1346.
Watson R.D. (1977), «The Marginal Cost of Funds Concept in Banking», Journal of Bank
Research.
Wilson T.C. (1993), «Infinite Wisdom», Risk, vol. 6, n. 6.
Wilson T.C. (1996), «Calculating Risk Capital», in Alexander C., The Handbook of Risk
Management and Analysis, Chichester, John Wiley & Sons, pp. 193-232.
Wilson T.C. (1997a), «Portfolio Credit Risk (I)», Risk, vol. 10, n. 9, pp. 111-117.
Wilson T.C. (1997b), «Portfolio Credit Risk (II)», Risk, vol. 10, n. 10, pp. 56-61.
Yoshifuji S. (1997), «The EaR Model and the Expanded VaR Model: An Application to
Bond Portfolios», IMES discussion paper, September.
Zaik E., Walter J., Kelling G., James C. (1996), «RAROC at Bank of America», Journal of
Applied Corporate Finance, vol. 9, n. 2, pp. 83-92.
Zangari P. (1997), «On Measuring Credit Exposure», RiskMetrics Monitor, First Quarter,
pp. 3-22.
Zimmer S.A., McCauley R.N. (1991), «Bank Cost of Capital and International Competition»,
Federal Reserve Bank of New York Quarterly Review, Winter, pp. 33-59.