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Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities

Fatone, Lorella; Mariani, Francesca - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 183-219

Persistent link: https://www.econbiz.de/10012226910

Multifactor risk attribution applied to systemic, climate and geopolitical tail risks for the Eurozone banking sector

Bettin, Giulia; Mensi, Gian Marco; Recchioni, Maria Cristina - In: Risks : open access journal 11 (2023) 10, pp. 1-26

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a representative sample of Eurozone banks between 2011 and 2022....

Persistent link: https://www.econbiz.de/10014391739

Taming financial systemic risk: models and early warning indicators

Tedeschi, Gabriele (ed.); Caccioli, Fabio (ed.); … - 2020

Persistent link: https://www.econbiz.de/10012226874

Taming financial systemic risk : models, instruments and early warning indicators

Tedeschi, Gabriele; Caccioli, Fabio; Recchioni, Maria … - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10012226882

Crisk-X and Grisk-X : Quantification and Attribution of Climate and Geopolitical Tail Risk for the Eurozone Banking Sector

Recchioni, Maria Cristina; Bettin, Giulia; Mensi, Gian Marco - 2023

This work aims to quantify climate and geopolitical tail risks for a representative sample of Eurozone publicly traded banks. By expanding on the method proposed by Acharya et al. (2012) to measure systemic risk (SRISK), we introduce two market-based metrics, climatic risk (CRISK-X) and...

Persistent link: https://www.econbiz.de/10014258055