Antonio Di Cesare

TL;DR: The impact of sovereign risk concerns on the cost and availability of bank funding over recent years is discussed in this article, where the authors focus on causality going from sovereigns to banks, as is already the case in some countries and, looking forward, is a possible scenario for other economies.

TL;DR: In this article, the determinants of credit default swap spread changes for a large sample of US non-financial companies over the period between January 2002 and March 2009 were analyzed using variables that the literature has found have an impact on CDS spreads and, in order to account for possible non-linear effects, the theoretical CDS spread predicted by the Merton model.

TL;DR: In this article, the authors derived adjusted downside and global measures of individual and systemic risks of hedge funds and distinguish between normally and fat tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the case of fat tails.

TL;DR: In this article, the authors examined the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries, and found that, in recent months, for several countries the spread has increased to levels that are well above those that could be justified on the basis of fiscal and macroeconomic fundamentals.

TL;DR: In this article, the main forces affecting financial system procyclicality are analyzed and three issues that are center stage in the current debate: capital regulation, accounting standards and managers' incentives.