Auflistung LIF-SAFE Working Papers nach Autor "Billio, Monica"

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    • Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 

      Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max (2020-03-01)
      We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ...

    • Credit Scoring in SME Asset-Backed Securities: An Italian Case Study 

      Bedin, Andrea; Billio, Monica; Costola, Michele; Pelizzon, Loriana (2019-10-14)
      We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ...

    • Global Realignment in Financial Market Dynamics: Evidence from ETF Networks 

      Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; Getmansky, Mila; Zareei, Abalfazl (2021-02-04)
      The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using ...

    • Inside the ESG Ratings: (Dis)agreement and Performance 

      Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana (2020-07-31)
      We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. ...

    • Networks in Risk Spillovers: A Multivariate GARCH Perspective 

      Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)
      We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...

    • The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification 

      Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana (2016-10-01)
      We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...

    • Which Market Integration Measure? 

      Billio, Monica; Donadelli, Michael; Paradiso, Antonio; Riedel, Max (2017-08-04)
      This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In ...