Analysis of Banks’ Systemic Risk Contribution and Contagion Determinants through the Leave-one-out Approach

Stefano Zedda
;
2017-01-01

Abstract

In this paper we develop a strong analysis of the systemic risk and contagion determinants, through the differential effects on the banking system of excluding one bank. The first raw test of comparing the riskiness of a sample of banks by some different risk measures gives some interesting results.
2017
Inglese
International Conference on Financial Cycles, Systemic Risk, Interconnectedness, and Policy Options for Resilience: Overview and Summary of Papers
978-92-9257-759-9
Asian Development Bank
Mandaluyong City, 1550 Metro Manila
FILIPPINE
94
96
3
https://www.adb.org/publications/fin-cycle-risk-interconnectedness-resilience
International Conference on Financial Cycles, Systemic Risk, Interconnectedness, and Policy Options for Resilience
Contributo
Comitato scientifico
8–9 September 2016
Sydney, Australia
internazionale
scientifica
Systemic risk; Leave-One_out; Monte Carlo simulation; Risk contributions
sì
4 Contributo in Atti di Convegno (Proceeding)::4.1 Contributo in Atti di convegno
Zedda, Stefano; Cannas, Giuseppina
273
2
4.1 Contributo in Atti di convegno
open
info:eu-repo/semantics/conferencePaper
Files in This Item:
File Size Format  
Sydney fin-cycle-proceedings2.pdf

open access

Description: versione completa
Type: versione editoriale
Size 5.39 MB
Format Adobe PDF
View/Open
5.39 MB Adobe PDF View/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Questionnaire and social

Share on:
Impostazioni cookie