The Role of Correlation in Systemic Risk: Mechanisms, Effects, and Policy Implications

Zedda, Stefano
First
;Patanè, Michele;
2021-01-01

Abstract

In this study, we analyzed the role of correlation in the interbank contagion mechanism, showing that the risk contribution of each bank is generally both influenced by the considered bank correlation to common variables, and by the system average correlation to the same variables.We also verified that the banks’ sensitivity to correlation is highly variable, but can be proxied on the base of some balance sheet values. These findings can provide significant references for a more effective regulation and supervision.
2021
Inglese
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Giuseppina Albano, et al.
Marco Corazza, et al.
395
401
7
Springer
Cham
SVIZZERA
978-3-030-78964-0
978-3-030-78965-7
Esperti anonimi
internazionale
scientifica
Correlation; Systemic risk; Monte Carlo simulation; Financial contagion
no
info:eu-repo/semantics/bookPart
2.1 Contributo in volume (Capitolo o Saggio)
Zedda, Stefano; Patanè, Michele; Miggiano, Luana
2 Contributo in Volume::2.1 Contributo in volume (Capitolo o Saggio)
3
268
reserved
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