文章基本信息

标题：A Comprehensive Approach for Calculating Banking Sector Risks
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作者：Carmelo Salleo ; Alberto Grassi ; Constantinos Kyriakopoulos 等
期刊名称：International Journal of Financial Studies
印刷版ISSN：2227-7072
出版年度：2020
卷号：8
期号：69
页码：69
DOI：10.3390/ijfs8040069
语种：English
出版社：MDPI, Open Access Journal
摘要：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.