Exploring the Systemic Risk of Domestic Banks with ΔCoVaR and Elastic-Net

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Services Research Pub Date : 2021-10-13 DOI:10.1007/s10693-021-00366-9

Bianchi, Michele Leonardo, Sorrentino, Alberto Maria

引用次数: 2

Abstract

We analyze the systemic risk of Italian banks with the ΔCoVaR from a bivariate normal GARCH model. The results show that it is a good measure of systemic risk and is applicable to the ranking of Italian other systemically important institutions. Using an elastic-net approach, we identify the balance sheet and market variables that explain the ΔCoVaR of Italian banks. The analysis confirms that these variables are key determinants of systemic importance and highlights how higher capitalization is beneficial to tackling systemic risk. And, we detect a connection between ΔCoVaR and some variables for trading and investment banking.

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利用ΔCoVaR和Elastic-Net研究国内银行的系统性风险

本文从二元正态GARCH模型出发，用ΔCoVaR分析了意大利银行的系统性风险。结果表明，这是一个很好的衡量系统风险的指标，适用于意大利其他系统重要性机构的排名。使用弹性网络方法，我们确定了解释意大利银行ΔCoVaR的资产负债表和市场变量。分析证实，这些变量是系统重要性的关键决定因素，并强调了更高的资本化如何有利于应对系统风险。并且，我们发现ΔCoVaR与交易和投资银行的一些变量之间存在联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Services Research BUSINESS, FINANCE-

CiteScore

3.00

自引率

7.10%

发文量

期刊介绍： The Journal of Financial Services Research publishes high quality empirical and theoretical research on the demand, supply, regulation, and pricing of financial services. Financial services are broadly defined to include banking, risk management, capital markets, mutual funds, insurance, venture capital, consumer and corporate finance, and the technologies used to produce, distribute, and regulate these services. Macro-financial policy issues, including comparative financial systems, the globalization of financial services, and the impact of these phenomena on economic growth and financial stability, are also within the JFSR’s scope of interest. The Journal seeks to promote research that enriches the profession’s understanding of financial services industries, to elevate industry and product efficiencies, as well as to inform the debate and promote the formulation of sound public policies. Officially cited as: J Financ Serv Res