Domenico Curcio

University of Naples Federico II

Assistant Professor

Via Cintia, Monte S. Angelo

Naples, Naples 80126

Italy

Arcelli Centre for Monetary and Financial Studies (CASMEF)

Research Fellow

Viale Romania 32

Rome, 00197

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

930

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (11)

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 (64,456)

Abstract:

Loading...

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 (212,018)

Abstract:

Loading...

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
Luiss Guido Carli University, University of Naples Federico II and University of Sannio
Downloads 103 (312,670)
Citation 2

Abstract:

Loading...

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
University of Sannio, University of Naples Federico II and Luiss Guido Carli University
Downloads 60 (427,144)

Abstract:

Loading...

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

5.

Financial Intermediaries’ Asset–Liability Dependency and Low-Interest-Rate Environment: Evidence from EU Life Insurers

Journal of Financial Management, Markets and Institutions, Vol. 7, No. 1 (2019)
Number of pages: 25 Posted: 22 Feb 2021
Domenico Curcio, Nicola Borri, Rosaria Cerrone and Rosa Cocozza
University of Naples Federico II, LUISS University - Department of Economics and Finance, University of Salerno Department of Management and Innovation Systems and University of Naples Federico II - Faculty of Economics
Downloads 47 (476,410)

Abstract:

Loading...

Insurance companies, asset–liability dependency, balance sheet, interest rates, canonical correlation

6.

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
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 (694,684)

Abstract:

Loading...

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

7.

Do Global Markets Imply Common Fear?

Rivista Bancaria Minerva Bancaria
Number of pages: 10 Posted: 12 Feb 2021
Rosa Cocozza, Domenico Curcio and Antonio Pacifico
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and affiliation not provided to SSRN
Downloads 6 (725,571)

Abstract:

Loading...

Volatility Indexes, Stock Market Indexes, Political Economy, Interest Rates

8.

I servizi di investimento e il profilo di rischio della clientela: questionari di valutazione e aspetti tecnici di gestione

Rivista Bancaria Minerva Bancaria
Number of pages: 41
Rosa Cocozza, Domenico Curcio and Annagrazia Quaranta
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Department of Economics and Law - University of Macerata
Downloads 5 (733,415)

Abstract:

Loading...

Customer profiling, risk tolerance, portfolio selection models, Conditional Value at Risk, robust optimization

9.

Nonmaturity Deposits and Banks’ Exposure to Interest Rate Risk: Issues Arising from the Basel Regulatory Framework

Journal of Risk, Vol. 17, No. 5, 2015
Number of pages: 36 Posted: 24 Jun 2016
Rosa Cocozza, Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Banco di Desio e della Brianza
Downloads 1 (770,699)
Citation 1
  • Add to Cart

Abstract:

Loading...

banks, interest rate risk, nonmaturity deposits, regulation, risk management

10.

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:

Loading...

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

11.

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:

Loading...

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