Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Full Professor of Banking and Finance

Via Cintia Monte S. Angelo

Napoli, 80126

Italy

http://www.docenti.unina.it/rosa.cocozza

SCHOLARLY PAPERS

28

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1,220

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (28)

1.
Downloads 269 (136,567)
Citation 1

A Dynamic Solvency Approach for Life Insurance

Number of pages: 24 Posted: 09 Jan 2011
Rosa Cocozza and Emilia Di Lorenzo
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics
Downloads 196 (185,012)
Citation 1

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Life Insurance, Financial Risk, Insolvency Risk, Capital Adequacy, Financial Regulation

A Dynamic Solvency Approach for Life Insurance

1st IAA Life Colloqium, June 2007
Number of pages: 24 Posted: 08 Jan 2011
Rosa Cocozza and Emilia Di Lorenzo
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics
Downloads 73 (384,689)

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Life insurance, financial risk, insolvency risk, capital adequacy, financial regulation

2.

On the Financial Risk Factor in Fair Valuation of the Mathematical Provision

Number of pages: 16 Posted: 29 Jun 2007
University of Naples Federico II - Faculty of Economics, affiliation not provided to SSRN, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno
Downloads 155 (226,856)
Citation 1

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Life insurance, financial risk, insolvency risk, mathematical provisions

3.

The Current Value of the Mathematical Provision: A Financial Risk Prospect

Problems and Perspectives in Management, Vol. 5, No. 2, 2007
Number of pages: 14 Posted: 28 Jun 2007
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno
Downloads 144 (240,895)

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Risk indicators, life insurance, solvency, financial risk, demographic risk

4.

Risk Identification and Measurement in Life Insurance: Critical Issues (Identificazione E Misurazione Dei Rischi Nei Portafogli Vita: Spunti Critici Di Riflessione)

Convegno Nazionale di Economia degli Intermediari Finanziari, PARMA (IT), 2005
Number of pages: 9 Posted: 08 May 2010
Rosa Cocozza
University of Naples Federico II - Faculty of Economics
Downloads 130 (261,106)

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Like insurance, risk indicators, risk management

5.

Embedded Option in Pension Funds: The Case of Conditional Indexation Policy

Number of pages: 10 Posted: 18 Jan 2010 Last Revised: 21 Jan 2015
Angela Gallo, Rosa Cocozza and Giuseppe Xella
Cass Business School, University of Naples Federico II - Faculty of Economics and University of Naples Federico II
Downloads 105 (304,373)

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Conditional indexation, barrier option, liabilities valuation, pension fund

6.

Methodological Problems in Solvency Assessment of an Insurance Company

Investment Management and Financial Innovations, Vol. 2, pp. 95-102, 2004
Number of pages: 8 Posted: 09 Jan 2011
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno
Downloads 102 (310,306)

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Life insurance, financial risk, demographic risk, capital adequacy, reserves, conditional random processes

7.

Risk Profiles of Life Insurance Business: A Combined Approach

Quaderni del Dipartimento di Matematica Applicata Alle Scienze Economiche Statistiche ed Attuariali Dell'università Degli Studi di Trieste, No. 8, Vol. 2, pp. 95-102, 2004
Number of pages: 14 Posted: 10 Jan 2011
Rosa Cocozza and Emilia Di Lorenzo
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics
Downloads 95 (324,958)

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Life insurance, financial risk, insolvency risk, capital adequacy, financial regulation

8.

La Rappresentazione Dei Rischi Sistemici Nei Bilanci Delle Banche e il Fondo per Rischi Bancari Generali (Italian)

Quaderni di Economia degli Intermediari Finanziari, 2011
Number of pages: 39 Posted: 07 Jan 2011
Rosa Cocozza
University of Naples Federico II - Faculty of Economics
Downloads 80 (361,007)

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Bank, Reserve, Provision

9.

Back to the Future: Prospective Bank Risk Management in a Financial Analysis Perspective

Wolpertinger 2014 Conference
Number of pages: 17 Posted: 21 Jan 2015
Rosa Cocozza
University of Naples Federico II - Faculty of Economics
Downloads 52 (450,214)

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European Banks, Key Risk Indicators, Sustainable Risk Management, Bank Profitability, Capital Management, Credit Risk, Allowances and Impairment.

10.

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
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 43 (487,144)

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

11.

‘Size & Fit’ of Piecemeal Liquidation Processes: Aggravating Circumstances and Side Effects

Open Review of Management, Banking and Finance, Forthcoming
Number of pages: 32 Posted: 10 Feb 2021
Rosa Cocozza and Rainer Masera
University of Naples Federico II - Faculty of Economics and Università degli Studi Guglielmo Marconi
Downloads 24 (593,379)

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Banks, Bank Regulation, Bank Supervision, Capital Management, Income Smoothing, Loan-Loss Provisions, Signaling, Proportionality

12.

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 9 (692,445)

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

13.

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 (715,225)

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

14.

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
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Department of Economics and Law - University of Macerata
Downloads 5 (722,853)

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

15.

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
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Banco di Desio e della Brianza
Downloads 1 (761,324)
Citation 1
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banks, interest rate risk, nonmaturity deposits, regulation, risk management

16.

An 'Economical' Pricing Model for Hybrid Products

Posted: 11 Feb 2015
Rosa Cocozza and Antonio De Simone
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics

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17.

The Pricing of Equity-Linked Contingent Claims Under a Lognormal Short Rate Dynamics

Posted: 14 Apr 2011
Rosa Cocozza and Antonio De Simone
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics

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option pricing, stochastic short rate model, binomial tree

18.

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

Posted: 13 Apr 2011
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Luiss Guido Carli University

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

19.

An Insight into Banks' Pricing: The Case of Covered Warrant

Posted: 11 Apr 2011
Rosa Cocozza, Antonio De Simone and Angela Gallo
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics and Cass Business School

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covered warrant, mispricing, participation cost, market power.

20.

Valuation of the Conditional Indexation Option in Asset and Liability Management of Defined Benefit Pension Funds

MATHEMATICAL AND STATISTICAL METHODS FOR INSURANCE AND FINANCE, C. Perna, M. Sibillo, eds., Springer Verlag, Forthcoming
Posted: 18 Jan 2011
Rosa Cocozza, Angela Gallo and Giuseppe Xella
University of Naples Federico II - Faculty of Economics, Cass Business School and University of Naples Federico II

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Conditional indexation, ALM, barrier option, pension funds

21.

Solvency of Life Insurance Companies: Methodological Issues

Journal of Actuarial Practice, Vol. 13, 2006
Posted: 09 Jan 2011
Rosa Cocozza and Emilia Di Lorenzo
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics

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Life insurance, financial risk, insolvency risk, capital adequacy, financial regulation

22.

Participating Policies: Risk and Value Drivers in a Financial Management Perspective

Posted: 09 Jan 2011 Last Revised: 06 Feb 2011
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno

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Participating Policies, Pension Annuities, Stochastic Interest Rates, Operating Income

23.

The Fair Value of Pension Liabilities: The Case of Embedded Option in Scenario Analysis

Investment Innovations and Financial Management, Vol. 7, pp. 36-45, 2010
Posted: 09 Jan 2011
Rosa Cocozza, Angela Gallo and Giuseppe Xella
University of Naples Federico II - Faculty of Economics, Cass Business School and University of Naples Federico II

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Conditional Indexation, Barrier Option, Liabilities Valuation, Pension Fund

24.

Managing Structured Bonds: An Analysis using RAROC and EVA

Journal of Risk Management in Financial Institutions, Vol. 2, No. 4, pp. 409-426, 2009
Posted: 09 Jan 2011
Rosa Cocozza and Albina Orlando
University of Naples Federico II - Faculty of Economics and Italian National Research Council (CNR)

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portfolio management, equity linked notes, economic value added, risk analysis

25.

The Value at Risk of the Mathematical Provision: Critical Issues

Journal of Risk Management in Financial Institutions, Vol. 1, No. 3, pp. 311-319, 2008
Posted: 09 Jan 2011
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics, Italian National Research Council (CNR) and Università degli Studi di Salerno

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Value at risk, life insurance, reserve, solvency, fair value

26.

Value-at-Risk-Adjusted Performance for Structured Portfolios

THE VAR MODELING HANDBOOK, pp. 349-374, G.N. Gregoriou, ed., McGraw Hill, 2009
Posted: 09 Jan 2011
Rosa Cocozza
University of Naples Federico II - Faculty of Economics

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Structured Bonds, EVA, Raroc, Product design

27.

Usage of Stock Index Options: Evidence from the Italian Market

STOCK MARKET VOLATILITY, pp. 337-353, G.N. Gregoriou, ed., Chapman Hall-CRC/Taylor and Francis, 2009
Posted: 09 Jan 2011
Rosa Cocozza
University of Naples Federico II - Faculty of Economics

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Option strategies, option trading, convexity gains

28.

Decision Making in Structured Finance. A Case in Risk-Adjusted Performance Computation

4th Computational Management Science Conference, April 2007
Posted: 07 Jan 2011
Rosa Cocozza and Albina Orlando
University of Naples Federico II - Faculty of Economics and Italian National Research Council (CNR)

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portfolio optimization, structured bonds