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....

In this paper we investigate the sources of instability in credit and financial systems and the effect of credit linkages on the macroeconomic activity. By developing an agent-based model, we analyze the evolving dynamics of the economy as a complex, adaptive and interactive system, which allows...

In this paper we analyze the role of the relationship between investment and finance as the main source of both financial instability and business cycle fluctuations. By building an agent-based model, our aim is to explicitly consider the complex nature of credit markets as strongly interactive...