A comprehensive approach for calculating banking sector risks

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-21 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Bankruptcy; Liquidation ; National Debt; Debt Management; Sovereign Debt
• Subject: banking risks ; distance-to-default ; contingent claims analysis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Salleo, Carmelo ; Grassi, Alberto ; Kyriakopoulos, Constantinos
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2020

Further information

• DOI: doi:10.3390/ijfs8040069
• Handle: http://hdl.handle.net/10419/257736
• Last update: 10.03.2025, 11:43 AM CET