COSIMO PACCIONE

PhD Graduate

PhD program:: XXXVI



Thesis title: At the origin of banking systemic risk: investigation of macro and micro factors affecting systemic risk level in European banking sector

The past two decades have been characterized by a series of financial crises that have compelled policymakers and regulators to strengthen bank controls and supervise financial platforms. All these crises share a common feature: their systemic impact. From the 2008 crisis to the recent COVID-19 and Russian-Ukrainian issues, the effects have not remained confined to specific regions but have reverberated globally and have involved a great part of the finanial sector players. And this is always true for both financial originated crisis and non-finacial originated crisis (as the COVID-19 and Russian-Ukraine ones). This transnational potential united to the non-isolated nature of the crisis has underscored the need to develop globally harmonized and effective countermeasures. Drawing from this premise, the study offers an experimental assessment of the key variables that empirically influence individual banks and hold systemic relevance. This understanding of risk origins could pave the way for more targeted solutions, preventing the imposition of punitive regulations or adverse consequences, and thus preserving the pivotal role of banks in the economy. This role primarily encompasses monetary transmission and intermediation functions. From the methodological standpoint, the underlying leitmotiv that inspires all the pages is the model selection approach. It is acknowledged that this risk could be determined by a plurality of concurrent causes, but only recognizing the limited set of drivers that concretely influence and determine the banking systemic risk could help to glean the fundamental dynamics behind the systemic disruptions; thus avoiding the risk of creating noise and disturbances in the analysis due to disordered misspecification of the phenomenon within the data. The analysis conducted has revealed significant insights. It has underscored the critical role of market volatility as a determinant of losses for both the system and banks. Furthermore, the gold price has emerged as a key disruptor, influencing bank performance even during stable periods. Notably, the aspect of interconnectedness in the financial market has been highlighted, emphasizing the importance of cross-market dependencies (represented by the CISS intermediaries driver (Hollo, 2012)) and the interconnectedness within the banking sector. This market feature has been demonstrated as one of the primary drivers of contagion during crisis periods, even more than the size per se.

Research products

11573/1722110 - 2024 - RISK-BASED CONTRIBUTION IN DEPOSIT GUARANTEE SCHEMES: A ROBUST PRINCIPAL COMPONENT ANALYSIS IN KEY RISK FACTORS’ WEIGHTING STEP
Giorgio, Saverio; Mure', Pina; Paccione, Cosimo; Bittucci, Lucilla - 01a Articolo in rivista
paper: JOURNAL OF FINANCIAL MANAGEMENT, MARKETS AND INSTITUTIONS (Bologna: il Mulino) pp. - - issn: 2282-717X - wos: (0) - scopus: (0)

11573/1700309 - 2024 - Evaluating the sustainability profile of banks. A comprehensive benchmarking analysis in the italian context
La Torre, Mario; Bittucci, Lucilla; Paccione, Cosimo; Palma, Alessia - 01a Articolo in rivista
paper: BUSINESS STRATEGY AND THE ENVIRONMENT (-New York:John Wiley -Bradford : European Research Press, 1992-) pp. 1-15 - issn: 0964-4733 - wos: WOS:001143824600001 (3) - scopus: 2-s2.0-85182430799 (3)

11573/1713245 - 2024 - Approcci simulativi a supporto delle scelte di portafoglio
Paccione, Cosimo - 02a Capitolo o Articolo
book: Tecniche di mercato mobiliare. Applicazioni con Excel, MATLAB e Python - (978-88-238-2361-7)

11573/1687538 - 2023 - Supervisory sanctions, ESG practices, and banks' reputation. A market performance analysis of sanctioned banks
Mango, Fabiomassimo; Mure, Pina; Cardi, Mavie; Paccione, Cosimo; Bittucci, Lucilla - 01a Articolo in rivista
paper: CORPORATE OWNERSHIP & CONTROL (Sumy : Virtus Interpress) pp. 343-350 - issn: 1727-9232 - wos: (0) - scopus: (0)

11573/1610129 - 2022 - Circular economy impact analysis on stock performances: an empirical comparison with the Euro Stoxx 50® ESG Index
Morea, D.; Mango, F.; Cardi, M.; Paccione, C.; Bittucci, L. - 01a Articolo in rivista
paper: SUSTAINABILITY (Basel : MDPI) pp. 843- - issn: 2071-1050 - wos: WOS:000757306500001 (14) - scopus: 2-s2.0-85122754624 (14)

© Università degli Studi di Roma "La Sapienza" - Piazzale Aldo Moro 5, 00185 Roma