Within the credit risk context, this paper shows how the knowledge of the network’s structure, implicit in the relationships between a bank’s customer firms, can help to understand whether, and to what extent, the difficulties of one firm can produce negative effects on the others via a contagion mechanism. The aim of the paper is to propose a new approach never implemented in the literature that is useful for bank managers and Regulatory Authorities. For this purpose, we study the network’s resilience implicit in an exclusive and unique data set that includes the cross-relationships, during five years, among the firms that are customers of an Italian commercial bank.
Pampurini, F., Grazia Quaranta, A., Heinsalu, E., Patriarca, M., Network Resilience and Assessment of the Credit Granting Policy, <<INTERNATIONAL REVIEW OF BUSINESS RESEARCH PAPERS>>, 2020; 16 (2): 1-15 [http://hdl.handle.net/10807/161041]
Network Resilience and Assessment of the Credit Granting Policy
Pampurini, FrancescaPrimo
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2020
Abstract
Within the credit risk context, this paper shows how the knowledge of the network’s structure, implicit in the relationships between a bank’s customer firms, can help to understand whether, and to what extent, the difficulties of one firm can produce negative effects on the others via a contagion mechanism. The aim of the paper is to propose a new approach never implemented in the literature that is useful for bank managers and Regulatory Authorities. For this purpose, we study the network’s resilience implicit in an exclusive and unique data set that includes the cross-relationships, during five years, among the firms that are customers of an Italian commercial bank.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.