Giovanni Papiro

Banca Monte Del Paschi de Siena (MPS)

Italy

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

1.

Bank Stress Testing: A Stochastic Simulation Framework

Number of pages: 68 Posted: 23 Nov 2013 Last Revised: 06 Mar 2015
Giuseppe Montesi and Giovanni Papiro
University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
Downloads 525 (63,200)

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Stress Testing, Monte Carlo Simulation, Stochastic Model, Solvency Risk, Credit Risk, Basel II, Basel III

Risk Analysis Probability of Default: A Stochastic Simulation Model

The Journal of Credit Risk Volume 10, Number 3 (September 2014)
Number of pages: 31 Posted: 28 Jul 2015
Giuseppe Montesi and Giovanni Papiro
University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
Downloads 302 (119,566)

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capital budgeting, corporate valuation, credit risk, discounted cash flow (DCF), expected loss, loss given default (LGD), monte carlo simulation, probability of default, stochastic model, unexpected loss.

Risk Analysis Probability of Default: A Stochastic Simulation Model

Journal of Credit Risk, Vol. 10, No. 3, 2014
Number of pages: 58 Posted: 06 Jun 2016
Giuseppe Montesi and Giovanni Papiro
University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
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probability of default, stochastic simulation model, Monte Carlo simulation

3.

Big Data-Driven Stochastic Business Planning and Corporate Valuation

Moro Visconti, R., Montesi, G., & Papiro, G. (2018). Big data-driven stochastic business planning and corporate valuation. Corporate Ownership & Control, 15(3-1),189-204. DOI: 10.22495/cocv15i3c1p4
Number of pages: 16 Posted: 10 May 2018
Università Cattolica del Sacro Cuore - Department of Business Administration, University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
Downloads 251 (145,592)
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Revenue Model, Forecasting, Free Cash Flow, Real Options, Valuation Metrics, Stochastic Simulation, Sales

4.

Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility

Number of pages: 48 Posted: 28 May 2016 Last Revised: 21 Aug 2018
Giuseppe Montesi and Giovanni Papiro
University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
Downloads 144 (239,555)

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Basel 3, Capital Adequacy, Capital Planning, CCAR, Economic Capital, Financial Fragility, Funding Risk, G-SIB, ICAAP, Heuristic Measure of Tail Risk, Liquidity Risk, Monte Carlo Simulation, Proba-bility of Default, RAF, Resiliency, SCAP, Solvency Risk, SREP, Stochastic Simulation, Stress Testing

5.

Stress Testing: Un Modello Di Simulazione Stocastica E Un Confronto Con L’Esercizio EBA/BCS 2014 (Stress Testing: A Stochastic Simulation Model and a Comparison with 2014 EBA/BCE Exercise)

Bancaria No. 02-15
Posted: 29 Apr 2015 Last Revised: 29 Aug 2016
Giuseppe Montesi, Pasquale Nicastro and Giovanni Papiro
University of Siena - School of Economics and Management, Banca Monte Del Paschi de Siena (MPS) and Banca Monte Del Paschi de Siena (MPS)

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Basel 3, Capital Adequacy, Capital Planning, Ccar, Economic Capital, Financial Fragility, Funding Risk, G-Sib, Icaap, Heuristic Measure of Tail Risk, Liquidity Risk, Monte Carlo Simulation, Probability of Default, Raf, Scap, Solvency Risk, Srep, Stochastic Simulation, Stress Testing