In this paper we develop a strong analysis of the systemic risk and contagion determinants, through the differential effects on the banking system of excluding one bank. The first raw test of comparing the riskiness of a sample of banks by some different risk measures gives some interesting results.

Analysis of Banks’ Systemic Risk Contribution and Contagion Determinants through the Leave-one-out Approach

Stefano Zedda
;
2017-01-01

Abstract

In this paper we develop a strong analysis of the systemic risk and contagion determinants, through the differential effects on the banking system of excluding one bank. The first raw test of comparing the riskiness of a sample of banks by some different risk measures gives some interesting results.
2017
978-92-9257-759-9
Systemic risk; Leave-One_out; Monte Carlo simulation; Risk contributions
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11584/309721
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