Systemic risk and banking regulation: Some facts on the new regulatory framework

Bonollo, Michele; Crimaldi, Irene; Flori, Andrea; Pammolli, Fabio; Riccaboni, Massimo

doi:10.22495/cocv12i2p5

Cited by 3 publications

(2 citation statements)

References 12 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The EU has also been in the forefront of tackling liquidity and systemic risk by creating the European Systemic Risk Board (ESRB) with a macroprudential responsibility to enhance the stability of the financial markets in the EU (Zidulina, 2010, p.164). Also, the EU created the Market Infrastructure Regulation framework to combat the systemic risk inherent in the over-the-counter derivative market in Europe (Bonollo et al, 2015).…”

Section: Regulatory Interventions To Risk Managementmentioning

confidence: 99%

Bank Risks, Regulatory Interventions and Deconstructing the Focus on Credit Risk

Okafor¹,

Fadul²

2019

RJFA

View full text Add to dashboard Cite

The risks that banks face have been exacerbated by the globalization and liberalization of the financial markets. The liberalization of the financial markets has exposed banks to a plethora of risks such as credit risk, liquidity risk, operational risk, counterparty risk, regulatory risk, systematic and reputational risks. A recurring discourse in the risk management literature is the perceived concentration of regulatory authorities on credit risk. This topic is reconsidered in this paper to critically evaluate the different risk types and to interrogate the assertion that regulatory authorities have focused more on credit risks of banks while shying away from other possible risks that banks face. Reviewing contemporary literature and regulatory interventions, we conclude that contrary to the claims that regulatory interventions have focused on credit risk of banks, attempts have been made to address in broad terms the gamut of risks that banks face.

show abstract

Section: Regulatory Interventions To Risk Managementmentioning

confidence: 99%

Bank Risks, Regulatory Interventions and Deconstructing the Focus on Credit Risk

Okafor¹,

Fadul²

2019

RJFA

View full text Add to dashboard Cite

show abstract

“…A very recent paper which exploits data from the Depository Trust and Clearing Corporation (DTCC) is Gehde-Trapp et al (2015); however it focuses on CDS rather than on IRS. A comparison between official BIS statistics and detailed trade repositories data is in Bonollo et al (2015) who describe how OTC derivatives market segmentation can be implemented through the provision of more granular flows of information due to the new regulatory framework. The novelties of our analysis are both the originality of the dataset that we exploited to identify specific sub-markets and the proposed distress indicator.…”

Section: Introductionmentioning

confidence: 99%

Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data

Bonollo¹,

Crimaldi

Flori

et al. 2016

Financ Mark Portf Manag

Self Cite

View full text Add to dashboard Cite

The recent financial crisis undoubtedly recognizes the importance of assessing not only the risk of distress for a single "financial entity", but also the distress dependencies between the different "entities", where by "entities" we mean in a broad sense any relevant cluster of products, risk factors, or counterparties. In this paper, we focus on the relationships among the sub-markets identified by the segmentation of the Interest Rate Swap (IRS) market according to contractual and financial features. We combine in an innovative way some new ingredients, namely the provision of more granular data on Over-the-Counter (OTC) derivatives by trade repositories along with the Joint Probability of Distress (JPoD) approach recently introduced by the International Monetary Fund (IMF) for studying the distress interdependence structure among financial institutions. In doing this, we define a distress indicator which combines some distress drivers, such as proxies for average traded volumes, liquidity spreads, and price dispersions. Results are quite close to the practical intuition: in many cases similarities between financial and contractual terms seem to be responsible for stronger co-dependences. However, high values for JPoD even in correspondence of quite dissimilar sub-markets suggests the presence of other drivers which need to be investigated in future research. To the best of our knowledge, this is the first empirical study based on micro-founded trade repositories' data on IRS for assessing systemic risk.

show abstract

Accounting Analysis of Banking Companies Listed in IBEX35 in Period of Financial Crisis

Benedito¹

2015

AEF

View full text Add to dashboard Cite

This manuscript presents a new methodology to measure the behavior of banking companies. It is based on equilibrium a criterion which is always on a balance sheet, and the main issue is the economic and financial significance of this equilibrium. The accounting analysis based on the Edgeworth's box analyzes an observation by means of two indicators, which measures the economic and financial significance of each annual observation at same time. This characteristic allows the measure of the decision making on two different criteria, according to evolution of macroeconomic variables. Moreover, undetermined values have financial and economic significances because the behavior of companies has a limit on this methodology. This manuscript presents the accounting methodology of the Edgeworth's box in the first chapter. Then, the behavior of banking companies is analyzed as qualitative and quantitative criteria to carry out the result of research in the second chapter. Conclusions are referred to the analytic capacity of this methodology and research results.

show abstract

Systemic risk and banking regulation: Some facts on the new regulatory framework

Cited by 3 publications

References 12 publications

Bank Risks, Regulatory Interventions and Deconstructing the Focus on Credit Risk

Bank Risks, Regulatory Interventions and Deconstructing the Focus on Credit Risk

Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data

Accounting Analysis of Banking Companies Listed in IBEX35 in Period of Financial Crisis

Contact Info

Product

Resources

About