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

Michele Bonollo, Irene Crimaldi (), Andrea Flori (), Fabio Pammolli () and Massimo Riccaboni ()
Additional contact information
Michele Bonollo: Credito trevigiano
Irene Crimaldi: IMT School for Advanced Studies Lucca
Andrea Flori: IMT School for Advanced Studies Lucca

No 2/2014, Working Papers from IMT School for Advanced Studies Lucca

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.

Keywords: Systemic Risk; Counterparty risk; Financial Networks; Basel regulations; European Market Infrastructure Regulation (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2014-03, Revised 2014-03
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in EIC working paper series

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