Cyclical systemic risk and banks’ vulnerability

Alona Shmygel and Steven Ongena
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Alona Shmygel: National Bank of Ukraine

No 24-09, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: What is the impact of cyclical systemic risk on future bank profitability? To answer this question, we study a large panel of Ukrainian banks between 2001 and 2023 comprising systemic events and wartime. With linear local projections we study the impact of cyclical systemic risk on bank profitability and following the original Growth-at-Risk approach we utilize quantile local projections to assess its impact on the tails of the future bank-level profitability distribution. We calibrate the countercyclical capital buffer, develop informative “Bank Capital-at-Risk” and “Share of vulnerable banks” indicators, and conduct scenario analyses and stress tests on profitability and capital adequacy.

Keywords: systemic risk; linear projections; quantile regressions; bank capital; macroprudential policy (search for similar items in EconPapers)
JEL-codes: E58 G21 G32 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2024-01
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cis and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2409

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