financial stability | Ricerc@Sapienza

Estimating the marginal contribution to systemic risk by a CoVaR-model based on copula functions and Extreme Value Theory

In this paper we quantify the contribution to systemic risk of a single financial institution by utilizing a analytical framework based on the principles of Extreme Value Theory (EVT) for modelling the marginal distributions and on the properties of copula functions for describing the dependence structure between the financial system and the single financial institution.

The Single Market and Synchronized Mechanisms for the Exercise of Administrative Functions: Converging Pathways or new Pathways for Integration? The Case of the European Banking Union

The EBU represents a clear investment in administrative integration with clear implications for the constitutional features of the EU. This paper aims to give an analysis of the administrative arrangements, through which the functions of supervision and resolution are affecting the single financial market. This case study is very interesting because these functions represent a genuine novelty in the history of financial integration since they are pre-ordained to a specific public interest: financial stability.