On fairness of systemic risk measures

Finance and Stochastics - In our previous paper “A unified approach to systemic risk measures via acceptance sets” (Mathematical Finance, 2018), we have introduced a general class of...     

Opening the network: Bridging the IMP tradition and other research perspectives

This paper introduces the theme of this Special Issue, that brings together some of the most significant papers presented at the 2006 Industrial Marketing & Purchasing (IMP) Group Conference. By proposing “opening the network” as the conference theme, our ambition was to provide a forum for new perspectives, alternative research methods and new empirical contexts, and so help IMP scholarship to continue evolving. After some preliminary remarks, we briefly introduce the papers and their contribution to the theme of this Special Issue. A first group of studies stimulates reflection in the field by contrasting IMP scholarship with ideas and points of view developed in related fields of inquiry. The second group, on the other hand, may be seen as an endogenous development of IMP scholarship, while the third group represents a response to a critique often addressed at the markets-as-networks approach: its dearth of managerial relevance.     

Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework

This paper extends the existing literature on deposit insurance by proposing a new approach for the estimation of the loss distribution of a Deposit Insurance Scheme (DIS) that is based on the Basel 2 regulatory framework. In particular, we generate the distribution of banks’ losses following the Basel 2 theoretical approach and focus on the part of this distribution that is not covered by capital (tail risk). We also refine our approach by considering two major sources of systemic risks: the correlation between banks’ assets and interbank lending contagion. The application of our model to 2007 data for a sample of Italian banks shows that the target size of the Italian deposit insurance system covers up to 98.96% of its potential losses. Furthermore, it emerges that the introduction of bank contagion via the interbank lending market could lead to the collapse of the entire Italian banking system. Our analysis points out that the existing Italian deposit insurance system can be assessed as adequate only in normal times and not in bad market conditions with substantial contagion between banks. Overall, we argue that policy makers should explicitly consider the following when estimating DIS loss distributions: first, the regulatory framework within which banks operate such as (Basel 2) capital requirements; and, second, potential sources of systemic risk such as the correlation between banks’ assets and the risk of interbank contagion.     

Reimbursing Preventive Care

The paper focuses on secondary prevention, such as diagnostic screening, medical examinations and checks-up, which refers to the early detection of disease. Secondary prevention is analyzed as a self-insurance activity reducing the negative shock of illness and can be either complement or substitute to illness treatment. This paper analyses the optimal reimbursement scheme for both prevention and treatment when each activity receives either a linear subsidy (i.e. cost sharing) or tax. Although optimal reimbursement systematically encourages treatment, it positively affects prevention if and only if prevention reduces the cost of treatment, that is in the case the two activities are substitutes.