1,720,961 research outputs found
At the origin of banking systemic risk: Investigation of macro and micro factors affecting systemic risk level in European banking sector
Full text linkHe past two decades have been characterized by a series of financial crises that have compelled policymakers and regulators to strengthen bank controls and supervise financial platforms. All these crises share a common feature: their systemic impact. From the 2008 crisis to the recent COVID-19 and Russian-Ukrainian issues, the effects have not remained confined to specific regions but have reverberated globally and have involved a great part of the finanial sector players. And this is always true for both financial originated crisis and non-finacial originated crisis (as the COVID-19 and Russian-Ukraine ones). This transnational potential united to the non-isolated nature of the crisis has underscored the need to develop globally harmonized and effective countermeasures. Drawing from this premise, the study offers an experimental assessment of the key variables that empirically influence individual banks and hold systemic relevance. This understanding of risk origins could pave the way for more targeted solutions, preventing the imposition of punitive regulations or adverse consequences, and thus preserving the pivotal role of banks in the economy. This role primarily encompasses monetary transmission and intermediation functions. From the methodological standpoint, the underlying leitmotiv that inspires all the pages is the model selection approach. It is acknowledged that this risk could be determined by a plurality of concurrent causes, but only recognizing the limited set of drivers that concretely influence and determine the banking systemic risk could help to glean the fundamental dynamics behind the systemic disruptions; thus avoiding the risk of creating noise and disturbances in the analysis due to disordered misspecification of the phenomenon within the data. The analysis conducted has revealed significant insights. It has underscored the critical role of market volatility as a determinant of losses for both the system and banks. Furthermore, the gold price has emerged as a key disruptor, influencing bank performance even during stable periods. Notably, the aspect of interconnectedness in the financial market has been highlighted, emphasizing the importance of cross-market dependencies (represented by the CISS intermediaries driver (Hollo, 2012)) and the interconnectedness within the banking sector. This market feature has been demonstrated as one of the primary drivers of contagion during crisis periods, even more than the size per se
Does Natural Gas Matter for Financial Stability? A SVAR-X Analysis on the European Financial System and Financial Intermediaries
No full textEvaluating the sustainability profile of banks. A comprehensive benchmarking analysis in the italian context
Full text linkThe integration of sustainability factors in banking activities is becoming more urgent and necessary since banks are asked by regulatory and supervisory authorities to integrate Environment, Social and Governance (ESG) components in their risk management and governance frameworks. In literature, there is a lack of studies that assess the sustainability orientation of banks. We tried to fill this literature gap by providing a formal approach to evaluate the sustainability profile of Italian banks against the requirements of Article 111 bis of the National Normative Framework, which defines specific criteria for “sustainable banks”. Exploiting a mixed-method approach, we analyze banks' compliance with the requirements of Article 111 bis and develop a distance metric that allows us to evaluate the distance of traditional banks from a selected benchmark compliant with Article 111 bis. While our findings reveal that Italian banks fall short of complete compliance with Article 111 bis, positive trends, particularly in sustainable lending, are discernible. Our paper represents an initial reflection on the definition of a sustainable business strategy, identifying crucial aspects that can be considered in harmonizing the bank's transition path to sustainability
Approcci simulativi a supporto delle scelte di portafoglio
No full textLe origini del termine ‘Monte Carlo method’ risalgono all’anno 1949, ad opera di Nicholas Metropolis a Stanislav Ulam ; tuttavia tale approccio simulativo è stato impiegato ben prima dagli studiosi per approcciare problemi di vario genere nel campo matematico, fisico e statistico. Con il potenziarsi della capacità di calcolo dei computer, nonché, con la sofisticazione delle tecniche statistiche sottostanti tale approccio, i metodi ‘Monte Carlo based’ hanno assunto centralità nel campo dell’ingegneria finanziaria, per cui vengono estensivamente impiegati sia per il’ ‘pricing’ di prodotti soggetti a una o più fonti di incertezza (come per le opzioni di tipo americano e asiatico), che per la valutazione della rischiosità di portafoglio (e.g. ‘Value at Risk’ (VaR) che si investigherà nei prossimi paragrafi).
In questo capitolo si esporranno, pertanto, i principali campi di utilizzo di tali strumenti simulativi, con un approccio matematico-descrittivo accompagnato da delle analisi empiriche dirette sui mercati. Queste ultime verranno eseguite principalmente in ambiente MATLAB, con in parallelo anche degli esempi in Excel. Ciò servirà a far emergere la discrepanza esistente in termini di efficacia fra i fogli di calcolo (Excel) e i software di programmazione in tale ambito
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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