La correlazione tra PD ed LGD nell’analisi del rischio di credito

Working Paper Ircres-CNR 14/2017. The international regulation on banking developed by Basel Committee on Banking Supervision has set a simplified link between default probabilities and loss given default, avoiding to introduce the correlation. The scientific literature ha proposed many models that try to improve the Basel framework. This article examines the most important models proposed in the literature and apply two of them to aggregate data from the Bank of Italy

Microeconomia in incertezza: un quadro di riferimento per l’analisi dei rischi d’impresa

Working Paper Ircres-CNR 04/2015. The introduction of risk in the microeconomic theory has some important effects on the behavior of the competitive firms: the level of optimal production under condition of risk is lower than under certainty; the optimal mix of productive input shifts to ones with less uncertainty; vertical integration, diversification and hedging are as many responses for optimal management of risks. The conclusions of the microeconomics under uncertainty depend also from the way the risk is modeled: additive risk is easier to handle than multiplicative risk, and conclusions from that are closer to microeconomics under certainty. 

Covid-19 e rischio di insolvenza: il punto di vista del mercato azionario

Working Paper Ircres-CNR 07/2021. The Covid-19 pandemic has been a big shock for economic systems. Governments and Central Banks quickly got fundamental decisions to counteract the main effects of the pandemic. Here the increase of default risk of Italian industrial corporates is studied. The perspective adopted is that of stock market: effectively the share prices have been deeply affected by the pandemic and this research has used data from 69 Italian listed companies. The probabilities of default of these firms have been estimated with the recourse to the Merton’s model and its adaptation from KMV. Statistical results show a significant rise of the credit risk metrics in 2020’s early months, followed then by a fast recovery

Point-in-time vs. through-the-cycle: filosofie di rating a confronto

Working Paper Ircres-CNR 11/2018. There are two fundamental philosophies of credit rating: the point-in-time and the through-the-cycle approaches. This survey consider the explanations of the three main rating agencies, Standard&Poor’s, Moody’s and Fitch, and compare them with the various quantitative models proposed in the scientific literature by researchers, consultants and regulators. Some common frameworks characterizing these models are identified and evaluated

La crisi finanziaria nei bilanci delle imprese. Una nota con i dati Mediobanca

WP 11/14; The financial crisis had a severe impact on financial statements of Italian manufacturing companies: in 2012 total revenues are still under the level got before 2009, while gross margins (EBITDA) are even below the level of 2007. The decrease of the accounting depreciation rates allowed the companies to contain the fall of net margins (EBIT). The cutback of fixed investments and the slow dynamic of the operating working capital have allowed the companies to limit their external financial needs, whose coverage came mainly from bond issues and net increases of short term financial debt

L'albero del rischio: relazioni stocastiche (elementari) tra gli indicatori di bilancio

Working Paper Ircres-CNR 04/2016. Starting from a map of financial ratios organized to analyse the corporate profitability, here is proposed a closed formula approach to compute the averages of ratios and their variabilities over the whole map. An application is provided using the 2016 edition of Mediobanca’s Dati Cumulativi. The proposed approach is easily generalizable and could be use in the domain of risk analysis of non-financial companies. 

Unexpected loss multiperiodale e pricing del rischio di credito

Working Paper Ircres-CNR 12/2020. The banks’ capital regulation is essentially static in nature and considers the regulatory requirement as the difference between two expected losses: the first is based on a stressed probability of default and the second is based on the expected probability of default. The framework defined in this paper considers the credit risk as the volatility of the discounted credit losses, that is coherent with the credit risk pricing. Nevertheless, there are some open questions in this framework, as the calibration of the capital requirement and the different kinds of correlations to be estimated

Corporate Finance in Europe from 1986 to 1996

After publishing its first report in September 1997, the Own Funds Working Group, in agreement with the European Committee of Central Balance Sheet Offices, decided to continue its work in order to gain a better understanding of the differences in financing structures between countries. To this end, the Group decided firstly to broaden the review period from 1986 to 1996. The compilation of figures and ratios over a longer period is advantageous in a number of ways. It not only enables an assessment of trends in financing structures in each country, but also of any changes in the ranking of the different countries involved. Furthermore, it gives an insight into the influence of cyclical and structural factors on this ranking. The Group also set itself the objective of not only taking a closer look at the influence of institutional factors The study was based, as the previous study, on incorporated companies (partnerships and sole proprietorships are therefore excluded) of the manufacturing industry, which is uniformly defined across all the countries. Once again, five size brackets according to turnover expressed in euros are analyzed. The size-based approach is essential because the aggregate values conceal the diversity of the situations in the various countries, especially in Germany where the results are strongly influenced by large firms. The two statistical parameters used are the weighted mean and the median. Moreover, to gain a better understanding of the influence of financing needs, assets have been broken down into their main items. As previously, efforts have been made to align methodologies so that the analyses cover variables that are as homogenous as possible from country to country.corporate finance, capital structure, europe, financial systme, credit, bankrutcy

Equity of European Industriel Corporations from 1991 to 1993

Throughout the Member States of the European Union, economic policy debate has centred on the terms of corporate financing, and in particular on whether the companies of each country have sufficient equity to compete in a single market. Moreover, faced with the risk of corporate insolvency, credit institutions consider a certain equity level to be one of several indicators of creditworthiness. Given this situation and within the framework of the work of the European Committee of Central Balance Sheet Offices, Germany, Austria, Spain, France and Italy and the second General Directorate of the European Commission invited a working group , to compare the f-inancial autonomy of European industriel companies. This study covered the period 1991 to 1993 and examined several issues. Do corporate equity levels vary according to the country ? Do these levels vary according to company size, regardless of the country? Do small companies have a specific position in each country? This study is based on an évaluation of corporate solvency, given that equity is used by companies and their financial partners to control risk exposure. After a brief reminder of the role of equity, the study sums up the research conducted since the publication in 1958 of the paper by Modigliani and Miller and gives a critical analysis of the empirical findings of intenational comparisons. All such research must begin by identifying and solving the financial and statistical methodological problems inherent to comparisons of the financing conditions of different countries. The work conducted gives rise to clear conclusions. - Corporate equity levels vary from country to country. These differences are at least partially related to variations in taxation, bankruptcy regulations, the organization of the banking system, the relationship between banks and companies and the financing practices of each country. - An overall analysis is insufficient and must be complemented by an analysis by company size. - The situation of the companies in each country can not be evaluated without taking into account financial requirements. - In France, regardless of the size of the company, the share of equity in overall financial resources appears larger than in other countries. Moreover, the difference between the equity of small and medium-sized companies and that of large corporations is narrower than in Germany or Austria. It should also be noted that this company classification is relatively recent in France.

Bollettino CERIS n. 14 Profitti, capitale ed inflazione. Un esame preliminare di alcune questioni

- Indice #7- Problematiche di metodo e di analisi del comportamento dei profitti industriali in Italia 1960-81 #11- L'inflazione e le quotazioni azionarie: un'analisi della letteratura recente #39- Il rapporto «q» di Tobin: aspetti metodologici ed alcune stime empiriche #5