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Net Interest Income Forecasting

NET INTEREST INCOME FORECASTING PROJECT

During the academic year 2015-2016 we were involved as SFSA in econometrics research project commissioned by the Head of Active Value Management of Intesa Sanpaolo, Dott. Tullio Lucca. The project was focused on the Net Interest Income (NII) analysis and was overviewed by Rita Laura D’Ecclesia, full professor of Quantitative Finance at Sapienza University. We conducted an Econometric Analysis of NII focusing on the impact of macroeconomic variables on interest rates and volumes of the Italian banking system. The aim was to study the dynamic of the Italian banking system NII over the time, therefore, we forecasted monthly interest rates for 2016-2018 in a double scenario following the European Banking Authority criteria. The final results were presented in Milan to the CFO of the group, Dott. Stefano Del Punta and his staff.

The project-team was composed of:

Paolo Lelio Galante

Rostyslav Lytyvyn

Antonio Perrella

 

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