A Comprehensive Approach for Calculating Banking Sector Risks
We propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks’ assets according to the risk-adjusted balance sheet of the...
| الحاوية / القاعدة: | International Journal of Financial Studies |
|---|---|
| المؤلفون الرئيسيون: | , , |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
MDPI AG
2020-11-01
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.mdpi.com/2227-7072/8/4/69 |
| _version_ | 1850423850771152896 |
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| author | Carmelo Salleo Alberto Grassi Constantinos Kyriakopoulos |
| author_facet | Carmelo Salleo Alberto Grassi Constantinos Kyriakopoulos |
| author_sort | Carmelo Salleo |
| collection | DOAJ |
| container_title | International Journal of Financial Studies |
| description | We propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks’ assets according to the risk-adjusted balance sheet of the counterparts. The use of distance to distress as a popular risk metric shows that Contingent Claims Analysis underestimates banks risk in stable periods and overstates it during crisis. Furthermore, the approach succeeds in detecting spillovers from households, non-financial corporations and sovereign sectors: for the countries examined the main source of instability comes from the Non-Financial Corporation sector and its increased assets volatility. |
| format | Article |
| id | doaj-art-e72081ee561f43e4b678a1c4a1c4b3ff |
| institution | Directory of Open Access Journals |
| issn | 2227-7072 |
| language | English |
| publishDate | 2020-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| spelling | doaj-art-e72081ee561f43e4b678a1c4a1c4b3ff2025-08-19T22:41:30ZengMDPI AGInternational Journal of Financial Studies2227-70722020-11-01846910.3390/ijfs8040069A Comprehensive Approach for Calculating Banking Sector RisksCarmelo Salleo0Alberto Grassi1Constantinos Kyriakopoulos2European Central Bank, 60314 Frankfurt, GermanyEuropean Central Bank, 60314 Frankfurt, GermanyDepartment of Mathematics, National and Kapodistrian University of Athens, 15772 Athens, GreeceWe propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks’ assets according to the risk-adjusted balance sheet of the counterparts. The use of distance to distress as a popular risk metric shows that Contingent Claims Analysis underestimates banks risk in stable periods and overstates it during crisis. Furthermore, the approach succeeds in detecting spillovers from households, non-financial corporations and sovereign sectors: for the countries examined the main source of instability comes from the Non-Financial Corporation sector and its increased assets volatility.https://www.mdpi.com/2227-7072/8/4/69banking risksdistance-to-defaultcontingent claims analysis |
| spellingShingle | Carmelo Salleo Alberto Grassi Constantinos Kyriakopoulos A Comprehensive Approach for Calculating Banking Sector Risks banking risks distance-to-default contingent claims analysis |
| title | A Comprehensive Approach for Calculating Banking Sector Risks |
| title_full | A Comprehensive Approach for Calculating Banking Sector Risks |
| title_fullStr | A Comprehensive Approach for Calculating Banking Sector Risks |
| title_full_unstemmed | A Comprehensive Approach for Calculating Banking Sector Risks |
| title_short | A Comprehensive Approach for Calculating Banking Sector Risks |
| title_sort | comprehensive approach for calculating banking sector risks |
| topic | banking risks distance-to-default contingent claims analysis |
| url | https://www.mdpi.com/2227-7072/8/4/69 |
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