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Systemic importance of financial institutions: regulations, research, open issues, proposals

  • Michele Bonollo

    (Credito trevigiano)

  • Irene Crimaldi

    ()

    (IMT Lucca Institute for Advanced Studies)

  • Andrea Flori

    ()

    (IMT Lucca Institute for Advanced Studies)

  • Fabio Pammolli

    ()

    (IMT Lucca Institute for Advanced Studies)

  • Massimo Riccaboni

    ()

    (IMT Lucca Institute for Advanced Studies)

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.

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File URL: http://eprints.imtlucca.it/2185/1/EIC_WP_2_2014.pdf
File Function: First version, 2014
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Paper provided by IMT Institute for Advanced Studies Lucca in its series Working Papers with number 2/2014.

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Length: 53 pages
Date of creation: Mar 2014
Date of revision: Mar 2014
Publication status: Published in EIC working paper series
Handle: RePEc:ial:wpaper:2/2014
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