eprintid: 2185
rev_number: 15
eprint_status: archive
userid: 6
dir: disk0/00/00/21/85
datestamp: 2014-03-27 14:06:12
lastmod: 2014-03-27 14:55:59
status_changed: 2014-03-27 14:06:12
type: monograph
metadata_visibility: show
creators_name: Bonollo, Michele
creators_name: Crimaldi, Irene
creators_name: Flori, Andrea
creators_name: Pammolli, Fabio
creators_name: Riccaboni, Massimo
creators_id: 
creators_id: irene.crimaldi@imtlucca.it
creators_id: andrea.flori@imtlucca.it
creators_id: f.pammolli@imtlucca.it
creators_id: massimo.riccaboni@imtlucca.it
title: Systemic importance of financial institutions: regulations, research, open issues, proposals
ispublished: pub
subjects: HB
subjects: HD61
subjects: HJ
divisions: EIC
full_text_status: public
monograph_type: imt_eic_working_paper
keywords: Systemic Risk, Counterparty risk, Financial Networks, Basel regulations, European Market Infrastructure Regulation -   JEL Codes: G01, G18, G21
abstract: 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.
date: 2014-03
date_type: published
number: 2
publisher: IMT Institute for Advanced Studies Lucca
pages: 53
institution: IMT Institute for Advanced Studies Lucca
issn: 2279-6894
citation:   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.      
document_url: http://eprints.imtlucca.it/2185/1/EIC_WP_2_2014.pdf