Il rischio sistemico: specificità, regolamentazione e contagio interbancario

Systemic risk [is] the disruption to the flow of financial services that is (i) caused by an impairment of all or parts of the financial system; and (ii) has the potential to have serious negative consequences for the real economy. The Bank for International Settlements, the Financial Stability Board and the International Monetary Fund adopted this definition of systemic risk solely in 2009. In the recent years, systemic risk has been given growing attention due to the events that followed the burst of the subprime crisis in the summer of 2007. The crisis has shown that problems arising at banks, financial markets, insurance companies and/or other financial infrastructures, i.e. the payment system and the interbank market, can have serious consequences for both the financial system and the real economy. The former is also known as contagion risk, the latter as procyclicality. This research investigates systemic risk under different perspectives. In the first chapter, a survey of the different definitions will be presented, along with an extensive, though non-exhaustive, literature review that displays the several dimensions of systemic risk. A regulatory approach will be adopted in the second and in the third chapter. The former will concentrate on the criteria adopted by the international regulators to identify which institutions, markets and infrastructures can pose systemic risk to the financial system and the real economy (the so called global systemically important financial institutions – G-SIFIs) as well as on the costs borne by either the governments or the supervisory authorities to save those institutions during the financial crisis. The latter will investigate the “new” rules for G-SIFIs aimed at preventing the occurrence of a systemic crisis due to the failure of one of these systemic institutions. The forth chapter concludes this research by presenting the results of a simulation exercise intended to assess the contagion risk on the European interbank market.