In this publication we are interested in the systematic risk affecting certain categories of entities in the financial … sector defined as G-SII and O-SII; in the macro-prudential supervision is imposed capital reserves for systemic risk … risk committee, CERS. After taking a look at the situation of Italian banks with reference to the effects of the 2008 …

markets exhibit greater systemic risk, contagion, and distress volatility and are more prone to crises. The model suggests a … counterparties, average risk aversion, standard deviation of total exposure, and market structure …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

We develop a structural model of the global banking network and analyze its role in facilitating risk sharing and … explains variation in risk sharing and amplification across countries. Moreover, we show that cross‐border loan supply has … become less elastic over time, resulting in a decline in risk sharing. While shock amplification has also declined on average …