Umeå University's logo

umu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Leveraged finance exposure in the banking system: systemic risk and interconnectedness
SDA Bocconi School of Management, Milan, Italy.
SDA Bocconi School of Management, Milan, Italy; Department of Economics, University of Perugia, Perugia, Italy.
Department of Political Sciences, University of Perugia, Perugia, Italy.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE). Department of Economics, University of Perugia, Perugia, Italy.ORCID iD: 0000-0002-2503-8342
2024 (English)In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 90, article id 101890Article in journal (Refereed) Published
Abstract [en]

In the post-pandemic era, the exposure to leveraged finance has emerged as a key factor of vulnerability for banks, coping with increasing inflation and interest rates. For this reason, the growth of the leveraged loans market is receiving significant attention from the Authorities (e.g. ECB, 2022). In this paper, we analyze an original sample of leveraged loans (1699) that combines instrument-specific information and the composition of the syndicates, with a specific focus on the G-SIBs participation from 2014 to 2021. The aim is to identify risk indicators that take into account the G-SIBs exposure to risky leveraged loans, the potential impact of the banks’ size and their interconnectedness. For this purpose, using M-Quantile regression for binary data, it is possible to obtain a first indicator measuring heterogeneity among banks in terms of credit risk exposure, a second indicator that combines the previous one with the banks’ size, and a third indicator as a measure of interconnectedness between banks.

Place, publisher, year, edition, pages
Elsevier, 2024. Vol. 90, article id 101890
Keywords [en]
Credit risk exposure, Interconnectedness, Leveraged finance, Syndicated loans, Systemic risk
National Category
Economics Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-218634DOI: 10.1016/j.intfin.2023.101890ISI: 001136100700001Scopus ID: 2-s2.0-85179605031OAI: oai:DiVA.org:umu-218634DiVA, id: diva2:1822683
Available from: 2023-12-27 Created: 2023-12-27 Last updated: 2025-04-24Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Stanghellini, Elena

Search in DiVA

By author/editor
Stanghellini, Elena
By organisation
Umeå School of Business and Economics (USBE)
In the same journal
Journal of international financial markets, institutions, and money
EconomicsBusiness Administration

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 96 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf