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

IMT Lucca EIC Working Paper No. 2

53 Pages Posted: 30 Mar 2014

See all articles by Michele Bonollo

Michele Bonollo

Banco Popolare

Irene Crimaldi

IMT Institute for Advanced Studies

Andrea Flori

Politecnico di Milano; Department of Management, Economics and Industrial Engineering

Fabio Pammolli

Polytechnic University of Milan - Department of Management, Economics and Industrial Engineering; CERM Foundation

Massimo Riccaboni

KU Leuven - Department of Managerial Economics, Strategy, and Innovation; IMT Institute for Advanced Studies

Date Written: March 26, 2014

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.

Keywords: Systemic Risk, Counterparty risk, Financial Networks, Basel regulations, European Market Infrastructure Regulation

JEL Classification: G01, G18, G21

Suggested Citation

Bonollo, Michele and Crimaldi, Irene and Flori, Andrea and Pammolli, Fabio and Riccaboni, Massimo, Systemic Importance of Financial Institutions: Regulations, Research, Open Issues, Proposals (March 26, 2014). IMT Lucca EIC Working Paper No. 2 , Available at SSRN: https://ssrn.com/abstract=2417483 or http://dx.doi.org/10.2139/ssrn.2417483

Michele Bonollo

Banco Popolare ( email )

Padua
Italy

Irene Crimaldi (Contact Author)

IMT Institute for Advanced Studies ( email )

Complesso San Micheletto
Lucca, 55100
Italy

Andrea Flori

Politecnico di Milano ( email )

via Lambruschini 4/B
Milano, Italy 20156
Italy

Department of Management, Economics and Industrial Engineering ( email )

Via Lambruschini 4/B - building 26/b
Milano, 20156
Italy

Fabio Pammolli

Polytechnic University of Milan - Department of Management, Economics and Industrial Engineering ( email )

Via Lambruschini 4C - building 26/A
Milano, 20156
Italy

CERM Foundation ( email )

Via Fiorentina, 1
Siena, Siena 53100
Italy

HOME PAGE: http://www.cermlab.it

Massimo Riccaboni

KU Leuven - Department of Managerial Economics, Strategy, and Innovation ( email )

Naamsestraat 69 bus 3500
Leuven, 3000
Belgium

IMT Institute for Advanced Studies ( email )

Complesso San Micheletto
Lucca, 55100
Italy

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