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Three Essays on Systemic Risk and Financial Stability

Flori, Andrea (2016) Three Essays on Systemic Risk and Financial Stability. Advisor: Pammolli, Prof. Fabio. Coadvisor: Crimaldi, Prof. Irene . pp. 235. [IMT PhD Thesis]

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The recent financial turmoil has stressed the need to assess the risk contribution of market players to the sustainability of financial systems. Systemic risk detection is a current field of research which includes a variety of techniques borrowed from different methodologies. These approaches are designed to both evaluate how financial institutions contribute to the stability of the system and to measure how they are resilient against financial distress that might propagate throughout their connections. Cornerstone of systemic risk assessment is the representation of the system as a complex environment where agents are mutually interconnected. The aim of this thesis is to provide different perspectives on the study of systemic risk and financial stability. The first chapter introduces the assessment of co-dependencies in over-the-counter submarkets, providing a novel investigation on very detailed transactions data that have been available thanks to the new regulatory framework. Next, I exploit network theory tools to depict banking system and to analyze how the emergence of homogeneous clusters of financial institutions characterized the last decade, showing that regional communities converged to more similar banking practices after the outbreak of financial markets. Finally, I propose a rare-events logistic regression model to assess the risk of distress in a wide and globally distributed sample of financial institutions; this chapter is intended to provide evidence in support of a target risk monitoring for institutions with different business models.

Item Type: IMT PhD Thesis
Subjects: H Social Sciences > HB Economic Theory
PhD Course: Economics
Identification Number: 10.6092/imtlucca/e-theses/209
NBN Number: urn:nbn:it:imtlucca-27237
Date Deposited: 22 Mar 2017 15:09
URI: http://e-theses.imtlucca.it/id/eprint/209

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