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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 universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet. Department of Economics, University of Perugia, Perugia, Italy.ORCID-id: 0000-0002-2503-8342
2024 (Engelska)Ingår i: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 90, artikel-id 101890Artikel i tidskrift (Refereegranskat) 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.

Ort, förlag, år, upplaga, sidor
Elsevier, 2024. Vol. 90, artikel-id 101890
Nyckelord [en]
Credit risk exposure, Interconnectedness, Leveraged finance, Syndicated loans, Systemic risk
Nationell ämneskategori
Nationalekonomi Företagsekonomi
Identifikatorer
URN: urn:nbn:se:umu:diva-218634DOI: 10.1016/j.intfin.2023.101890Scopus ID: 2-s2.0-85179605031OAI: oai:DiVA.org:umu-218634DiVA, id: diva2:1822683
Tillgänglig från: 2023-12-27 Skapad: 2023-12-27 Senast uppdaterad: 2024-03-12Bibliografiskt granskad

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Stanghellini, Elena

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Journal of international financial markets, institutions, and money
NationalekonomiFöretagsekonomi

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Totalt: 54 träffar
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