利用ΔCoVaR和Elastic-Net研究国内银行的系统性风险

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2021-10-13 DOI:10.1007/s10693-021-00366-9

Bianchi, Michele Leonardo, Sorrentino, Alberto Maria

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引用次数: 2

摘要

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

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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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.