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http://hdl.handle.net/2067/43073
Titolo: | Systemic Risk of Non Performing Loans Market. The Italian Case. | Autori: | D'Arcangelis, Anna Maria Rotundo, Giulia |
Rivista: | JOURNAL OF APPLIED QUANTITATIVE METHODS | Data pubblicazione: | 2019 | Abstract: | The paper considers the systemic risk due to the Non-Performing Loans in the balance sheets of banks. Using empirical data on Non-Performing Loans of Italian Banks and following the proposal of securitization of problematic loans, we propose the use of a bipartite network to simulate a hypothetical market of asset classes and investors. A default cascade dynamic runs when asset classes are hit by multiple shocks and propagation increases losses faced by investors through both direct and indirect exposure. Our results show that the degree of differentiation of the market, with a parameter that controls the sensitivity to losses of investors, is crucial to determine the systemic risk of this kind of market. |
URI: | http://hdl.handle.net/2067/43073 | ISSN: | 1842-4562 | Diritti: | Attribution-NonCommercial-NoDerivatives 4.0 International |
È visualizzato nelle collezioni: | A1. Articolo in rivista |
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