Systemic risk contributions

Xin Huang, Hao Zhou and Haibin Zhu
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Xin Huang: https://www.federalreserve.gov/econres/xin-huang.htm

No 2011-08, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP expected loss measure. In general, we find that a bank's contribution to the systemic risk is roughly linear in its default probability but highly nonlinear with respect to institution size and asset correlation.

Keywords: Systemic risk; Banks and banking; Financial risk management (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban, nep-bec, nep-cba, nep-ias and nep-rmg
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Citations: View citations in EconPapers (29)

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Related works:
Journal Article: Systemic Risk Contributions (2012)
Chapter: Systemic risk contributions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2011-08

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