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Details about Antonio Di Cesare

E-mail:
Workplace:Banca d'Italia (Bank of Italy), (more information at EDIRC)

Access statistics for papers by Antonio Di Cesare.

Last updated 2020-04-12. Update your information in the RePEc Author Service.

Short-id: pdi102


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Working Papers

2018

  1. A Survey of Systemic Risk Indicators
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads

2012

  1. Recent estimates of sovereign risk premia for euro-area countries
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (74)
  2. The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds
    Papers, arXiv.org Downloads View citations (1)

2011

  1. Risk Measures for Autocorrelated Hedge Fund Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2011) Downloads

    See also Journal Article in Journal of Financial Econometrics (2015)
  2. The impact of sovereign credit risk on bank funding conditions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (24)

2010

  1. An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (16)

2009

  1. Financial sector pro-cyclicality: lessons from the crisis
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (59)
  2. Securitization and Bank Stability
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2006

  1. Do market-based indicators anticipate rating agencies? Evidence for international banks
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (9)
    See also Journal Article in Economic Notes (2006)

2004

  1. Estimating expectations of shocks using option prices
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads

Journal Articles

2015

  1. Risk Measures for Autocorrelated Hedge Fund Returns
    Journal of Financial Econometrics, 2015, 13, (4), 868-895 Downloads
    See also Working Paper (2011)

2006

  1. Do Market-based Indicators Anticipate Rating Agencies? Evidence for International Banks
    Economic Notes, 2006, 35, (1), 121-150 Downloads View citations (6)
    See also Working Paper (2006)

2001

  1. A simulation environment for discontinuous portfolio value processes
    Applied Stochastic Models in Business and Industry, 2001, 17, (1), 41-55 Downloads

Books

 
Page updated 2020-08-03