Apr 022014

Segnaliamo il seguente working paper dell’ IMT Lucca Institute for Advanced Studies


Michele Bonollo, Credito Trevigiano; IMT Institute for Advanced Studies Lucca
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

Systemic Importance of Financial Institutions: Regulations, Research, Open Issues, Proposals

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 eff ects of banks defaults during the recent fi nancial 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 e ffective quantitative tool. In this paper, we refer to the di fferent pieces of the puzzle: defi nition of systemic risk, a set of coherent and useful measures, the computability of these measures, the data set structure. In this challenging fi eld, 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.