Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System

Miguel Rivera-Castro (), Andrea Ugolini and Juan Arismendi Z ()
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Miguel Rivera-Castro: ICMA Centre, Henley Business School, University of Reading
Juan Arismendi Z: ICMA Centre, Henley Business School, University of Reading
Authors registered in the RePEc Author Service: Juan Carlos Arismendi Zambrano ()

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Itaú are the origin of the larger systemic shocks from the banking system to the financial system network. The results have implications for the capital regulation of financial institutions and for risk managers' decisions.

Keywords: Systemic Risk; Brazilian Banking System; Banking Network; Financial Contagion; Financial Crisis (search for similar items in EconPapers)
JEL-codes: G01 G21 G32 G38 (search for similar items in EconPapers)
Date: 2016-09
New Economics Papers: this item is included in nep-ban, nep-cfn, nep-net and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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