Systemic Risk Measures

Solange Guerra, Benjamin Tabak, Rodrigo Andrés Peñaloza () and Rodrigo Miranda

No 321, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank vulnerability, but also the stress dependency structure between them. Furthermore, these measures can be quite useful for identifying systematically important banks. The empirical results show that these indicators capture with considerable fidelity the moments of increasing systemic risk in the Brazilian banking sector in recent years.

Date: 2013-08
New Economics Papers: this item is included in nep-ban, nep-cba, nep-lam, nep-rmg and nep-spo
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps321.pdf (application/pdf)

Related works:
Journal Article: Systemic risk measures (2016)
Working Paper: SYSTEMIC RISK MEASURES (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:321

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().