Aldo Letizia

Banca Popolare Pugliese

Risk Manager

Via Luzzatti,8

Matino, Lecce 73046

Italy

University of Salento, Department of Mathematics and Physics

Piazza Tancredi, n7

Lecce, 73100

Italy

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 23,278

SSRN RANKINGS

Top 23,278

in Total Papers Downloads

2,631

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Credit Spread Widening Risk in Portfolios: Pricing Techniques and Sensitivity Measures

Number of pages: 6 Posted: 31 Jan 2008 Last Revised: 02 Apr 2011
Aldo Letizia
Banca Popolare Pugliese
Downloads 1,399 (16,828)

Abstract:

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spread risk, spread widening, interest rate risk, fair value, discounted cash flow, floater, floating rate note, value at risk

2.

Credit Spread Widening Risk and its Effects on Banks' Economic Capital

Number of pages: 46 Posted: 07 Apr 2011 Last Revised: 20 Jun 2012
Aldo Letizia
Banca Popolare Pugliese
Downloads 497 (70,087)

Abstract:

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spread risk, option adjusted spread, asset and liability management, Basel, credit risk, credit pricing, financial crisis

Vulnerability of Risk Management Systems in Credit Spread Widening Scenarios

Number of pages: 18 Posted: 27 Mar 2010 Last Revised: 02 Apr 2011
Aldo Letizia
Banca Popolare Pugliese
Downloads 364 (100,308)
Citation 2

Abstract:

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risk management, spread risk, var, value at risk, credit spread, credit risk, asset pricing, floating rate note, spread duration, duration, Basel 3, Basel III, financial crisis, fair value

Vulnerability of Risk Management Systems in Credit Spread Widening Scenarios

The IUP Journal of Financial Risk Management, Vol. VII, No. 3, pp. 7-24, September 2010
Posted: 11 Nov 2010
Aldo Letizia
Banca Popolare Pugliese

Abstract:

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4.

A Stochastic Approach to the Measurement of Interest Rate Risk in the Banking Book

Number of pages: 12 Posted: 27 Oct 2017
Aldo Letizia
Banca Popolare Pugliese
Downloads 290 (129,423)

Abstract:

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interest rate risk, banking book, asset and liability management

5.

Improving Evaluation Techniques for Credit Risky Securities

Number of pages: 18 Posted: 09 Dec 2019
Aldo Letizia
Banca Popolare Pugliese
Downloads 81 (366,516)

Abstract:

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Bond Evaluation, Credit Evaluation, Fair Value, Spread Risk