Igor Gianfrancesco

Luiss Guido Carli University

viale Romania 32

Roma, 00198

Italy

Banca Popolare di Spoleto

PIazza Pianciani 5

Spoleto, PG 06049

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

871

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

Bank Loans Pricing and Basel II: A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints

Banks and Bank Systems, Vol. 4, No. 4, pp.56-66, 2009
Number of pages: 11 Posted: 28 Jan 2011 Last Revised: 01 Aug 2011
Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II and Luiss Guido Carli University
Downloads 527 (64,349)

Abstract:

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asset pricing, banks, Basel II, risk management

2.

Modelling Italian Bank Retail Interest Rates Under an Error Correction Framework: Implications for Banking Risk Management

Rivista Bancaria Minerva Bancaria, No. 5-6, pp. 5-29, 2010
Number of pages: 25 Posted: 26 Jan 2011 Last Revised: 01 Aug 2011
Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II and Luiss Guido Carli University
Downloads 171 (211,714)

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Interest Rates, Banks, Risk Management

3.

Investigating Implied Asset Correlation and Capital Requirements: Empirical Evidence from the Italian Banking System

Banks and Bank Systems, Vol. 6, Issue 2, pp. 116-125, 2011
Number of pages: 10 Posted: 20 Jul 2011 Last Revised: 08 Mar 2012
Igor Gianfrancesco, Domenico Curcio and Antonella Malinconico
Luiss Guido Carli University, University of Naples Federico II and University of Sannio
Downloads 103 (312,259)
Citation 2

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asset correlation, banks, risk management, regulation, Basel II

4.

Investigating Implied Asset Correlation and Capital Requirements: Empirical Evidence from the Italian Banking System

Banks and Bank Systems, Volume 6, Issue 2, 2011
Number of pages: 10 Posted: 06 Mar 2012
Antonella Malinconico, Domenico Curcio and Igor Gianfrancesco
University of Sannio, University of Naples Federico II and Luiss Guido Carli University
Downloads 60 (426,623)

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asset correlation, banks, Basel II, risk management, regulation

5.

Does Prudential Regulation Contribute to Effective Measurement and Management of Interest Rate Risk? Evidence From Italian Banks

Journal of Financial Stability, Vol. 30, 2017
Number of pages: 13 Posted: 03 Feb 2021
Rosaria Cerrone, Rosa Cocozza, Domenico Curcio and Igor Gianfrancesco
University of Salerno Department of Management and Innovation Systems, University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Luiss Guido Carli University
Downloads 10 (701,438)

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Bank regulation, Interest rate risk, Monte Carlo simulations, Historical simulations, Backtesting

6.

A Risk-Adjusted Pricing Model for Bank Loans: Challenging Issues from Basel II

Journal of Risk Management in Financial Institutions, Vol. 4, No. 2, pp. 117-145, 2011
Posted: 17 Apr 2011
Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II and Luiss Guido Carli University

Abstract:

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asset pricing, banks, risk management, regulation, Basel II

7.

Asset-Liability Dependency: Evidence from a Sample of European Commercial Banks

Posted: 13 Apr 2011
Rosa Cocozza, Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Luiss Guido Carli University

Abstract:

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Canonical correlation, Asset-liability management, Commercial banks, Risk management