Montagna, Mattia; Torri, Gabriele; Covi, Giovanni - 2020
Systemic risk in the banking sector is usually associated with long periods of economic downturn and very large social … systemic risk (i.e. the probability of a large number of banks going into distress simultaneously) and thus we develop a … multilayer microstructural model to study empirically the determinants of systemic risk. The model is then calibrated on the most …