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.
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