1,721,016 research outputs found
Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion
No full textPresents information sources and methodologies for modeling and simulating banking system stability
Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model.
In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models
Assistenzialismo o investimento? Una esperienza di istituzione e valutazione di incentivi locali alla nascita di imprese
No full textGli interventi di incentivazione agli investimenti, ed in particolare alla nascita di imprese, sono uno strumento importante per il riequilibrio del differenziale di sviluppo nelle aree a minore vocazione imprenditoriale. La verifica dei risultati ottenuti con tali interventi pone tuttavia diversi problemi di misurazione e valutazione. In primo luogo si pone la necessità di verificare il risultato in termini diretti, ossia se le imprese incentivate siano "vive e vitali". Ma è altrettanto importante verificare in quale modo l’intervento incida sul tessuto produttivo locale, ossia se il sostegno alle nuove imprese indebolisca le imprese già presenti, togliendo spazio di mercato, ovvero lo rafforzi, completando il mosaico produttivo e trasmettendo fiducia al sistema. In questo studio si intende proporre un metodo di misura sia per il risultato diretto che per l’impatto sul sistema locale, verificato sui dati relativi ad un intervento comunale realizzato in Sardegna a partire dal 2000
L’analisi delle componenti principali con metodologia robusta: una verifica sui dati di borsa
No full text
Credit scoring: Does XGboost outperform logistic regression?A test on Italian SMEs
Full text linkThe old-fashioned logistic regression is still the most used method for credit scoring. Recent developments have evolved new instruments coming from the machine learning approach, including random forests.
In this paper, we tested the efficiency of logistic regression and XGBoost methods for default forecasting on a sample of 35,535 cases from 7 different business sectors of Italian SMEs, on a set of 28 banking variables and 55 balance sheet ratios for verifying which approach is better supporting the lending decisions.
With this aim, we developed an efficiency index for measuring each model's capability to correctly select good borrowers, balancing the different effects of refusing the loan to a good customer and lending to a defaulter. Also, we computed the balancing spread to quantify the different models' efficiency in terms of credit costs for the borrower firms.
Results show that different sectors report different results. However, generally speaking, the two methods report similar capabilities, while the cutoff setting can make a substantial difference in the actual use of those models for lending decisions
Italian Banks’ Paths through the Crisis
No full textOver the past seven years, the financial system has undergone an unprecedented crisis, which has caused important changes in the structure and business models of banks. This paper explores the main changes in the structure of Italian banks’ assets in 2007-2013, by size and category, as a re- sult of the financial crisis and of regulatory and business models changes. The analysis shows that the effects of the crisis were very different on different categories, and that business models have changed, pushing the different banking categories to business models and balances increasingly similar
Alcune considerazioni sulle formule per il calcolo approssimato della redditività e del costo dell’indebitamento aziendale
No full textIn this paper an altenative proof of the so-called Hardy formula (for proxing yelds or cost rates)is reporte
Portfolio strategies for renewable energy share maximization
No full textOne of the major problems related to the use of renewable energy sources (RES) relies in the mismatching between renewable energy production and consumption curves.
With reference to this problem, it is interesting to note that as wind blows differently in different sites, wind-based productions are differentiated in their production timing. The aim of this position paper is to show that these differences, when properly considered, can be useful for reducing the differences between RES production and energy consumption, thus to maximize the share of RES.
The way these differences can be used for optimizing the hourly profile come from finance, where portfolio selection techniques are used, in the aim of combining some risky assets, so to obtain a more stable trend for the whole portfolio. Evidently, when dealing with energy, this strategy must be adapted, as in this case the goal is not a stabilization of results, but the production adaptation to the consumption request. In this way, the contribution of production from renewable sources can be effectively increased: in a test on the Sardinia region, in Italy, on the average hourly profile, we verified that the RES production actual characteristics only allows for a theoretical maximum coverage of 79% while it can go to 94% if the whole production were reorganized on the base of each plant production curves, based on the same techniques coming from finance, and adequately adapted
- …
