Enhancing the Understanding of Exogenous and Endogenous Risks and Vulnerabilities in a National Financial System

  • Antonio Sanchez Serrano

Student thesis: Doctoral Thesis


The global financial crisis unveiled several gaps in both the academic and the policymaking communities in what concerned the generation and accumulation of risks and vulnerabilities in the financial system. This thesis, divided in two themes, is an inter-disciplinary analysis related to two areas that have been the subject of intense efforts in the aftermath of the global financial crisis: (i) the late recognition and subsequent accumulation of non-performing loans in the balance sheet of European banks and how the real economy could be affected by it, and (ii) the development of analytical frameworks to monitor exogenous sources of systemic risk. Focusing on the first area, the four papers included in the first theme provide a justification for an active response when policy makers are confronted with a large increase in non-performing loans, including the requirement for their early resolution. Moreover, they show that the alternative of maintaining a large stock of non- performing loans in the balance sheet of banks, or even more, of renegotiating these loans, may have severe negative consequences for the real economy in the long-term. The two papers included in the second theme relate to the second area and propose analytical frameworks for exogenous sources of systemic risk, in the form of the materialisation of a tail risk, such as the COVID-19 pandemic, and of financial instability in emerging economies. They show that macroprudential authorities can build analytical frameworks that are based on sound methodologies, flexible enough to adjust to the rapidly- evolving current macroeconomic environment, and not requiring extensive resources to monitor exogenous sources of risks to the financial system of their jurisdiction. As a whole, this thesis therefore contributes to the increasingly important areas of systemic risk and macroprudential policy.
Date of Award8 Aug 2023
Original languageEnglish
Awarding Institution
  • University of Portsmouth
SupervisorLester Hunt (Supervisor) & Georgios Magkonis (Supervisor)

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