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Identifying and tracking global, EU and Eurozone systemically important banks with public data

Masciantonio, Sergio - Banca d'Italia - 2013

This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data...

Persistent link: https://www.econbiz.de/10011099597

Externalities in interbank network: results from a dynamic simulation model

Manna, Michele; Schiavone, Alessandro - Banca d'Italia - 2012

In this paper we conduct a simulation run on a sample of Italian banks where a trigger shock, a one-off event fairly large in size, spreads through the interbank network in a set-up featuring among the actors both commercial banks and the authorities. The banks deleverage to comply with a...

Persistent link: https://www.econbiz.de/10011099690

EU bank deleveraging

Bologna, Pierluigi; Caccavaio, Marianna; Miglietta, Arianna - Banca d'Italia - 2014

We analyse the deleveraging process with reference to a sample of European banks from December 2011 to June 2013 and find that the leverage ratio (measured as assets to equity) has declined on average from 28.6 to 25.0. Its standard deviation fell from 8.2 to 6.5. About 2/3 of the deleveraging...

Persistent link: https://www.econbiz.de/10011100352

The negative feedback loop between banks and sovereigns

Angelini, Paolo; Grande, Giuseppe; Panetta, Fabio - Banca d'Italia - 2014

sovereign risk affects banking risk (and vice versa), presents some new evidence on bank-sovereign links, and discusses policy …

Persistent link: https://www.econbiz.de/10011100401

Is there a role for funding in explaining recent US bank failures?

Bologna, Pierluigi - Banca d'Italia - 2011

This paper tests the role of different banksï¿½ liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banksï¿½ probability of default. By...

Persistent link: https://www.econbiz.de/10009350682

Credit ratings in structured finance and the role of systemic risk

Violi, Roberto - Banca d'Italia - 2010

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ï¿½staticï¿½ fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ï …

Persistent link: https://www.econbiz.de/10008677911

Connect them where it hurts. The missing piece of the puzzle

Esposito, Lorenzo - Banca d'Italia - 2013

The crisis has shown that banks that are too big to fail are at the core of the international financial system. These institutions are thus at the centre of a powerful wave of re-regulation of the banking system. Overall, the proposals developed to strengthen the capacity of big banks to weather...

Persistent link: https://www.econbiz.de/10011105112

Lessons learned from the financial crisis for financial stability and banking supervision

Vincenzo, Alessio De; Freni, Maria Alessandra; … - Banca d'Italia - 2010

strengthening the system and containing the risk of future financial and economic disruptions. Three ingredients are needed to … analysis must be improved to take full account of the different sources of systemic risk. Data coverage of the balance sheets … will result in more robust capital base, lower leverage, less cyclical capital rules and better control of liquidity risk …

Persistent link: https://www.econbiz.de/10008764794

Countercyclical contingent capital (CCC): possible use and ideal design

Martino, Giuseppe De; Libertucci, Massimo; Marangoni, Mario - Banca d'Italia - 2010

Contingent capital ï¿½ any debt instrument that converts into equity when a predefined event occurs ï¿½ has received increasing attention as a viable tool for allowing banks to raise capital when needed at relatively more affordable prices than common equity. While the debate has focused...

Persistent link: https://www.econbiz.de/10008677915

Financial market regulation in the wake of financial crises: the historical experience

Gigliobianco, Alfredo; Toniolo, Gianni - Banca d'Italia - 2009

The focus of the present volume - which originates from a workshop held at the Bank of Italy on 16 and 17 April 2009 - is the regulatory response given to financial crises in the past, across countries. Alongside the scholarly interest of such a review its aim is also to offer some insights that...

Persistent link: https://www.econbiz.de/10008458259