The methodological framework for IORP stress testing establishes theoretical and practical rules, guidelines and possible approaches to support future IORP stress testing exercises.
The document introduces a “toolbox” approach, consisting of tools and analytical approaches that can appropriately capture the characteristics of IORPs.
The use of the different tools can be adapted to the specific objective of the stress test.
The consultation will end on 22 September 2021.
The paper develops an early warning model to identify liquidity crises for Italian banks by comparing the predictive performance of three machine learning methods (logistic LASSO, random forest and Extreme Gradient Boosting). Using an innovative dataset, built using data from the Bank of Italy’s Emergency Liquidity Assistance (ELA) operations, carried out to fund banks facing temporary liquidity shortages, our early warning models’ signals are calibrated using an optimization method based on preferences between type I error (missing a crisis) and type II error (false alarm).
The three estimation methods used show an excellent predictive performance, which improves when they are combined by computing a simple or weighted average. The combined models achieve a low percentage of missed crises (false negatives), while at the same time limiting the number of false alarms (false positives).
(Only in Italian)
La consultazione riguarda le proposte di modifica della Circolare n. 262 e del Provvedimento del 30 novembre 2018 della Banca d’Italia che disciplinano gli schemi e le regole di compilazione del bilancio delle banche e degli intermediari IFRS diversi dagli intermediari bancari.
La presente consultazione è di interesse, in particolare, per:
- banche e società capogruppo di un gruppo bancario;
- intermediari finanziari ex art. 106 TUB;
- confidi;
- istituti di moneta elettronica;
- istituti di pagamento;
- SGR;
- SIM;
- associazioni di categoria, che possono rappresentare le istanze dei propri associati;
- ogni altro soggetto o organizzazione che possa avere interesse a fornire alla Banca d’Italia osservazioni e spunti di riflessione sullo schema normativo sottoposto a consultazione pubblica.
La consultazione avrà termine il 23 agosto 2021.
Borsa Italiana with Notice n. 21364 of 21 June 2021 publishes the amendments to the SeDeX market Rules regarding the distribution on the Market. The aforementioned amendments will enter into force on the 21st June 2021.
Borsa Italiana with Notice n. 21363 of 21 June 2021 publishes the amendments to the Instructions to the ETFplus Market Instructions regarding the introduction of the RFQ Market Maker ranking and the revision of the tick sizes for negotiated transactions. The aforementioned amendments will enter into force on the 21st June 2021.
