1,721,081 research outputs found
A Statistical Framework to Measure ReputationRisk
No full textMuch of the work in the field of risk management has been focused on defining and quantifying market, credit and operational risk. Recently, there has also been recognition that organizations should measure and manage the reputation risksthey are exposed to. In general, a reputation risk is any event that can potentially damage the standing of an organization in the eyes of third-parties. From a financial point of view, reputation information potentially affect firm stock value. Thus, the most important contribution of our analysis is to introduce the forward search to define lower and upper bounds (envelopes) which are likely to contain returns (at a pre-defined confidence level) when no reputation events occur
Analyzing the temporal dependence of bank interest rates to market interest rates: the Italian case
No full textNel presente lavoro viene affrontato il problema della reattività dei tassi di interesse, applicati dalle banche alla clientela, alle variazioni dei tassi ufficiali e interbancari. Tale tema è particolarmente rilevante poiché il comportamento del sistema bancario è in grado di condizionare l’efficacia che le politiche monetarie hanno sull’intero sistema economico. Viene proposto un modello non lineare per la stima simultanea dell’elasticità e del grado di vischiosità temporale dei tassi bancari. Il modello è stato applicato alle serie storiche dei tassi bancari attivi e passivi, per valutare la loro vischiosità in relazione alle variazioni del tasso ufficiale di sconto (TUS)
Un modello statistico per l'analisi della dipendnza temporale dei tassi bancari dai tassi interbancari
No full textEquilibrium sedimentation profiles of screened charged colloids. A test of the hard-sphere equation of state
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In silico study of DNA mononucleotide self-assembly
No full textRecent experiments have demonstrated the self-assembly and long-range ordering of concentrated aqueous solutions of DNA and RNA mononucleotides. These are found to form Watson-Crick pairs that stack into columns that become spatially organized into a columnar liquid-crystalline phase. In this work, we numerically investigate this phase behavior by adopting an extremely coarse-grained model in which nucleotides are represented as semi-disk-like polyhedra decorated with attractive (patchy) sites that mimic the stacking and pairing interactions. We carry out Monte Carlo simulations of these patchy polyhedra by adapting algorithms borrowed from computer graphics. This model reproduces the features of the experimental phase behavior, which essentially depends on the combination of pairing and stacking interactions
Analyzing the Temporal Dependence of Bank Interest Rates to Market Interest Rates: the Italian Case
No full textGoing Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Credit risk management through robust generalized linear models
No full textUsing financial and non-financial risk factors of a sample
of more than 600 firms extracted from a financial institution database merged with “Centrale dei Rischi” database, we adopt generalized linear models in order to classify healthy and potentially insolvent firms in classes according with their default
probability. One of the most relevant innovation of this paper is the introduction of a robust analysis for distress prediction methods using the forward search methodology (Atkinson and Riani, 2000). The main contribution of the forward search in the
framework of rating system is the possibility to improve the classification rule avoiding the influence of outlying firms
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