Bonollo, Michele and Crimaldi, Irene and Flori, Andrea and Pammolli, Fabio and Riccaboni, Massimo Systemic importance of financial institutions: regulations, research, open issues, proposals. EIC working paper series #2/2014 IMT Institute for Advanced Studies Lucca ISSN 2279-6894.
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In the field of risk management, scholars began to bring together the quantitative methodologies with the banking management issues about 30 years ago, with a special focus on market, credit and operational risks. After the systemic effects of banks defaults during the recent financial crisis, and despite a huge amount of literature in the last years concerning the systemic risk, no standard methodologies have been set up to now. Even the new Basel 3 regulation has adopted a heuristic indicator-based approach, quite far from an effective quantitative tool. In this paper, we refer to the different pieces of the puzzle: definition of systemic risk, a set of coherent and useful measures, the computability of these measures, the data set structure. In this challenging field, we aim to build a comprehensive picture of the state of the art, to illustrate the open issues, and to outline some paths for a more successful future research. This work appropriately integrates other useful surveys and it is directed to both academic researchers and practitioners.
|Item Type:||Working Paper (EIC working paper series)|
|Uncontrolled Keywords:||Systemic Risk, Counterparty risk, Financial Networks, Basel regulations, European Market Infrastructure Regulation - JEL Codes: G01, G18, G21|
|Subjects:||H Social Sciences > HB Economic Theory
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HJ Public Finance
|Research Area:||Economics and Institutional Change|
|Depositing User:||Ms T. Iannizzi|
|Date Deposited:||27 Mar 2014 14:06|
|Last Modified:||27 Mar 2014 14:55|
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