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The relationship between the risk of failure and the global systemic importance of banks: a multicriteria evaluation approach

Angilella Silvia, Doumpos Michail, Mazzù Sebastiano, Zopounidis Konstantinos

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URIhttp://purl.tuc.gr/dl/dias/BC39CF48-C9C0-4150-A8FA-DF70739AC154-
Αναγνωριστικόhttps://doi.org/10.1080/01605682.2022.2129479-
Αναγνωριστικόhttps://www.tandfonline.com/doi/full/10.1080/01605682.2022.2129479-
Γλώσσαen-
Μέγεθος15 pagesen
ΤίτλοςThe relationship between the risk of failure and the global systemic importance of banks: a multicriteria evaluation approachen
ΔημιουργόςAngilella Silviaen
ΔημιουργόςDoumpos Michailen
ΔημιουργόςΔουμπος Μιχαηλel
ΔημιουργόςMazzù Sebastianoen
ΔημιουργόςZopounidis Konstantinosen
ΔημιουργόςΖοπουνιδης Κωνσταντινοςel
ΕκδότηςTaylor & Francisen
ΠερίληψηSystemic risks constitute a major issue for financial stability, given the interconnectedness of financial institutions around the world. In this context, the identification of Global Systemically Important Banks (G-SIBs) is crucial, as it enables supervisors to spot potential sources of systemic risks at the global level and take mitigation actions. To this end, the Financial Stability Board (FSB), in consultation with the Basel Committee on Banking Supervision (BCBS), has built a methodology to identify G-SIBs. In this research, we employ a sample of banks over the years 2013–2018 and extend the FSB/BCBS methodology through the application of an outranking multicriteria decision aiding approach, combined with extensive sensitivity analysis based on simulations with respect to the criteria weights and the sample composition. Different schemes for aggregating the simulation results are examined in terms of their robustness. Moreover, we examine the relationship between the multicriteria evaluation for the global systemic importance of banks and their risk of failure. The results reveal that systemic importance is positively associated with their probability of default, thus indicating that additional special measures should be designed and implemented for monitoring the soundness of banks that have a major role in the global financial system.en
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2024-02-22-
Ημερομηνία Δημοσίευσης2023-
Θεματική ΚατηγορίαBankingen
Θεματική ΚατηγορίαSystemic importanceen
Θεματική ΚατηγορίαFinancial stabilityen
Θεματική ΚατηγορίαMulticriteria analysisen
Θεματική ΚατηγορίαOutranking methodsen
Βιβλιογραφική ΑναφοράS. Angilella, M. Doumpos, S. Mazzù and C. Zopounidis, “The relationship between the risk of failure and the global systemic importance of banks: a multicriteria evaluation approach,” J. Oper. Res. Soc., vol. 74, no. 10, pp. 2109–2123, Oct. 2023, doi: 10.1080/01605682.2022.2129479.en

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