Details about Costanza Torricelli

Homepage:

http://personale.unimore.it/Rubrica/dettaglio/torricel

Workplace:

Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto (Carlo Alberto College), Università degli Studi di Torino (University of Turin), (more information at EDIRC) Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Dipartimento di Economia "Marco Biagi" (Department of Economics), Università degli Studi di Modena e Reggio Emilia (University of Modena and Reggio Emilia), (more information at EDIRC)

Access statistics for papers by Costanza Torricelli.

Last updated 2025-04-06. Update your information in the RePEc Author Service.

Short-id: pto78

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Working Papers

2022

1. Climate Stress Test: bad (or good) news for the market? An Event Study Analysis on Euro Zone Banks
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"
   See also Journal Article Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks, Annals of Finance, Springer (2025) (2025)
2. ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"
3. ESG screening strategies and portfolio performance: how do they fare in periods of financial distress?
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (4)
4. Social Bonds and the “Social Premiumâ€
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"

2021

5. The market price of greenness A factor pricing approach for Green Bonds
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (5)

2020

6. Financial Fragility across Europe and the US: The Role of Portfolio Choices, Household Features and Economic-institutional Setup
   CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
   Also in Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2020) View citations (7)
   See also Journal Article Financial Fragility Across Europe: Is it the Household or the Country that Matters?, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2025) (2025)

2019

7. The impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (7)

2018

8. Household Preferences for Socially Responsible Investments
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (8)
   Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2018) View citations (8)
   See also Journal Article Household preferences for socially responsible investments, Journal of Banking & Finance, Elsevier (2019) View citations (34) (2019)

2017

9. Individual Heterogeneity and Pension Choices: How to Communicate an Effective Message?
   CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (10)
   Also in Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2016)
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2017) View citations (12)
10. Past Income Scarcity and Current Perception of Financial Fragility
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (9)

2015

11. Second homes: households' life dream or (wrong) investment?
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2012) View citations (1)
12. Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (11)
    See also Journal Article Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise, Annals of Finance, Springer (2017) View citations (4) (2017)

2014

13. Do Women Prefer Pink?: The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2013) View citations (2)
    See also Journal Article Do Women Prefer Pink? The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions, Politica economica, Società editrice il Mulino (2015) View citations (7) (2015)
14. Does homeownership partly explain low participation in supplementary pension schemes?
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (22)
    See also Journal Article Does Homeownership Partly Explain Low Participation in Supplementary Pension Schemes?, Economic Notes, Banca Monte dei Paschi di Siena SpA (2016) View citations (6) (2016)
15. Family ties: occupational responses to cope with a household income shock
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (22)
    Also in Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2014) View citations (22)
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2014) View citations (20)
16. The impact of skill and management structure on Serie A Clubs’ performance
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (18)

2013

17. A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (28)
    See also Journal Article A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises, Applied Economics, Taylor & Francis Journals (2015) View citations (14) (2015)
18. Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (24)
    See also Journal Article Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis, Applied Financial Economics, Taylor & Francis Journals (2013) View citations (24) (2013)

2012

19. Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
    CEIS Research Paper, Tor Vergata University, CEIS View citations (38)
    Also in Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2012) View citations (31)
    See also Journal Article Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households, Review of Income and Wealth, International Association for Research in Income and Wealth (2016) View citations (36) (2016)
20. Is It Money or Brains? The Determinants of Intra-Family Decision Power
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (43)
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2012) View citations (41)
    CHILD Working Papers Series, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA (2012) View citations (44)
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2012) View citations (41)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2012) View citations (31)
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2012) View citations (26)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (47)

2011

21. Modelling credit risk for innovative firms: the role of innovation measures
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (29)

2010

22. A parsimonious default prediction model for Italian SMEs
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (32)

2009

23. MODELS FOR HOUSEHOLD PORTFOLIOS AND LIFE-CYCLE ALLOCATIONS IN THE PRESENCE OF LABOUR INCOME AND LONGEVITY RISK
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (29)
24. Marriage and Other Risky Assets: A Portfolio Approach
    CHILD Working Papers, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY View citations (1)
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2009) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (3)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (1)
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2008)
    See also Journal Article Marriage and other risky assets: A portfolio approach, Journal of Banking & Finance, Elsevier (2011) View citations (58) (2011)

2008

25. Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"
26. Rating systems, procyclicalilty and Basel II: an evaluation in a general equilibrium framework
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (4)
    See also Journal Article Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework, Annals of Finance, Springer (2010) View citations (6) (2010)

2007

27. Model risk and techniques for controlling market parameters. The experience in Banco Popolare
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"
28. The Effect of Population Ageing on Household Portfolio Choices in Italy
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
    Also in Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica (2007) View citations (1)
29. The role of demographic variables in explaining financial returns in Italy
    Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica View citations (1)

2006

30. Economic activity and Recession Probabilities: spread predictive power in Italy
    Computing in Economics and Finance 2006, Society for Computational Economics
31. Optimal banks behaviour and procyclicality
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

32. Forward-looking estimation of default probabilities with Italian data
    Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica View citations (6)
33. The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. In both applications evidence supports a relevant informative content of the spread in Italy
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
34. The internal efficiency of Index Option Markets
    Computing in Economics and Finance 2005, Society for Computational Economics
35. The no arbitrage condition in option implied trees: evidence from the Italian index options market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

2004

36. A forward-looking model for time-varying capital requirements and the New Basel Capital Accord
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
37. The internal efficiency of Index Option Markets:Tests on the Italian Market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

2003

38. Call and put implied volatilities and the derivation of option implied trees
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
    See also Journal Article Call an Put Implied Volatilities and the Derivation of Option Implied Trees, Frontiers in Finance and Economics, SKEMA Business School (2007) (2007)
39. The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" View citations (1)

2001

40. Estimation and arbitrage opportunities for exchange rate baskets
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article Estimation and arbitrage opportunities for exchange rate baskets, Applied Economics, Taylor & Francis Journals (2003) View citations (1) (2003)

1999

41. The Information in the Term of Structure: further Results for Germany
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (6)

1998

42. Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (2)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1998) View citations (1)

1997

43. The expectations hypothesis of the term structure: Evidence for Germany
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (11)

Journal Articles

2025

1. Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks
   Annals of Finance, 2025, 21, (1), 1-17
   See also Working Paper Climate Stress Test: bad (or good) news for the market? An Event Study Analysis on Euro Zone Banks, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2022) (2022)
2. Financial Fragility Across Europe: Is it the Household or the Country that Matters?
   Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2025, 176, (2), 799-850
   See also Working Paper Financial Fragility across Europe and the US: The Role of Portfolio Choices, Household Features and Economic-institutional Setup, CEIS Research Paper (2020) View citations (6) (2020)
3. Sustainable optimal stock portfolios: What relationship between sustainability and performance?
   European Journal of Operational Research, 2025, 323, (1), 323-340

2024

4. The trade-off between ESG screening and portfolio diversification in the short and in the long run
   Journal of Economics and Finance, 2024, 48, (2), 298-322 View citations (1)

2023

5. Social bonds and the “social premium”
   Journal of Economics and Finance, 2023, 47, (3), 600-619

2021

6. An assessment of the Fundamental Review of the Trading Book: the capital requirement impact on a stylised financial portfolio
   International Journal of Banking, Accounting and Finance, 2021, 12, (4), 389-403

2020

7. Collected Works of Marida Bertocchi
   Quantitative Finance, 2020, 20, (5), 721-722
8. Saving with a Social Impact: Evidence from Trento Province
   Sustainability, 2020, 12, (20), 1-15 View citations (1)
9. The scars of scarcity in the short run: an empirical investigation across Europe
   Economia Politica: Journal of Analytical and Institutional Economics, 2020, 37, (3), 1033-1069 View citations (3)

2019

10. Household preferences for socially responsible investments
    Journal of Banking & Finance, 2019, 105, (C), 107-120 View citations (34)
    See also Working Paper Household Preferences for Socially Responsible Investments, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2018) View citations (8) (2018)

2018

11. Family ties: Labor supply responses to cope with a household employment shock
    Review of Economics of the Household, 2018, 16, (3), 809-832 View citations (8)
12. Individual heterogeneity and pension choices: Evidence from Italy
    Journal of Economic Behavior & Organization, 2018, 148, (C), 260-281 View citations (7)

2017

13. Second homes in Italy: every household’s dream or (un)profitable investments?
    Housing Studies, 2017, 32, (2), 168-185 View citations (1)
14. Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
    Annals of Finance, 2017, 13, (3), 237-251 View citations (4)
    See also Working Paper Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2015) View citations (11) (2015)

2016

15. Does Homeownership Partly Explain Low Participation in Supplementary Pension Schemes?
    Economic Notes, 2016, 45, (2), 179-203 View citations (6)
    See also Working Paper Does homeownership partly explain low participation in supplementary pension schemes?, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2014) View citations (22) (2014)
16. Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
    Review of Income and Wealth, 2016, 62, (4), 628-649 View citations (36)
    See also Working Paper Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households, CEIS Research Paper (2012) View citations (38) (2012)

2015

17. A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    Applied Economics, 2015, 47, (2), 129-147 View citations (14)
    See also Working Paper A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2013) View citations (28) (2013)
18. Do Women Prefer Pink? The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions
    Politica economica, 2015, (3), 377-420 View citations (7)
    See also Working Paper Do Women Prefer Pink?: The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions, Other publications TiSEM (2014) View citations (7) (2014)

2014

19. Who holds the purse strings within the household? The determinants of intra-family decision making
    Journal of Economic Behavior & Organization, 2014, 101, (C), 65-86 View citations (48)

2013

20. Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis
    Applied Financial Economics, 2013, 23, (24), 1853-1863 View citations (24)
    See also Working Paper Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2013) View citations (24) (2013)
21. Modelling Credit Risk for Innovative SMEs: the Role of Innovation Measures
    Journal of Financial Services Research, 2013, 44, (1), 111-129 View citations (17)

2011

22. Marriage and other risky assets: A portfolio approach
    Journal of Banking & Finance, 2011, 35, (11), 2902-2915 View citations (58)
    See also Working Paper Marriage and Other Risky Assets: A Portfolio Approach, CHILD Working Papers (2009) View citations (1) (2009)

2010

23. Demographics and asset returns: does the dynamics of population ageing matter?
    Annals of Finance, 2010, 6, (2), 193-219 View citations (6)
24. Population age structure and household portfolio choices in Italy
    The European Journal of Finance, 2010, 16, (6), 481-502 View citations (15)
25. Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
    Annals of Finance, 2010, 6, (1), 33-49 View citations (6)
    See also Working Paper Rating systems, procyclicalilty and Basel II: an evaluation in a general equilibrium framework, Economics Series Working Papers (2008) View citations (1) (2008)
26. The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case
    Economic Notes, 2010, 39, (3), 129-146 View citations (1)

2009

27. Economic activity and recession probabilities: information content and predictive power of the term spread in Italy
    Applied Economics, 2009, 41, (18), 2309-2322 View citations (5)
28. On the no-arbitrage condition in option implied trees
    European Journal of Operational Research, 2009, 193, (1), 212-221 View citations (13)

2008

29. Portfolio Choices, Gender and Marital Status
    Rivista di Politica Economica, 2008, 98, (5), 119-154 View citations (2)

2007

30. Call an Put Implied Volatilities and the Derivation of Option Implied Trees
    Frontiers in Finance and Economics, 2007, 4, (1), 35-64
    See also Working Paper Call and put implied volatilities and the derivation of option implied trees, Department of Economics (2003) (2003)
31. The internal and cross market efficiency in index option markets: an investigation of the Italian market
    Applied Financial Economics, 2007, 17, (1), 25-33 View citations (6)

2005

32. Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
    Journal of Banking & Finance, 2005, 29, (12), 3121-3140 View citations (37)
33. Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market
    International Review of Financial Analysis, 2005, 14, (5), 508-532 View citations (7)
34. The pricing of options on an interval binomial tree. An application to the DAX-index option market
    European Journal of Operational Research, 2005, 163, (1), 192-200 View citations (4)

2004

35. A multiperiod binomial model for pricing options in a vague world
    Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887 View citations (11)

2003

36. Estimation and arbitrage opportunities for exchange rate baskets
    Applied Economics, 2003, 35, (15), 1689-1698 View citations (1)
    See also Working Paper Estimation and arbitrage opportunities for exchange rate baskets, SFB 373 Discussion Papers (2001) View citations (1) (2001)

2002

37. The information in the term structure of German interest rates
    The European Journal of Finance, 2002, 8, (1), 21-45 View citations (8)

2001

38. A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
    Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (4)
39. The rational expectation dynamics of a model for the term structure and monetary policy
    Decisions in Economics and Finance, 2001, 24, (2), 137-152

1996

40. A comparative evaluation of alternative models of the term structure of interest rates
    European Journal of Operational Research, 1996, 93, (1), 205-223 View citations (11)

1994

41. Futures market and spot price volatility: A model for a storable commodity
    European Journal of Political Economy, 1994, 10, (2), 339-355 View citations (5)

Books

2007

1. Money, Finance and Demography: The Consequences of Ageing
   SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum View citations (8)