Leveraged finance exposure in the banking system: Systemic risk and interconnectedness
研究了2014至2021年间全球系统重要性银行在杠杆贷款中的敞口，通过M-分位数回归构建了三个风险指标，分别衡量信用风险异质性、规模影响和银行间互联性。
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.