TY  - RPRT
Y1  - 2014/03//
A1  - Bonollo, Michele
A1  - Crimaldi, Irene
A1  - Flori, Andrea
A1  - Pammolli, Fabio
A1  - Riccaboni, Massimo
N2  - 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.
TI  - Systemic importance of financial institutions: regulations, research, open issues, proposals
ID  - eprints2185
SN  - 2279-6894
AV  - public
M1  - imt_eic_working_paper
PB  - IMT Institute for Advanced Studies Lucca
UR  - http://eprints.imtlucca.it/2185/
EP  - 53
KW  - Systemic Risk
KW  -  Counterparty risk
KW  -  Financial Networks
KW  -  Basel regulations
KW  -  European Market Infrastructure Regulation -   JEL Codes: G01
KW  -  G18
KW  -  G21
ER  -