Network Resilience and Assessment of the Credit Granting Policy

Francesca Pampurini, Anna Grazia Quaranta, Els Heinsalu, Marco Patriarca

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)1-15
Number of pages15
JournalINTERNATIONAL REVIEW OF BUSINESS RESEARCH PAPERS
Volume16
Publication statusPublished - 2020

Keywords

  • Credit Risk
  • Network resilience
  • Systemic Risk

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