Systemic Risk Measures
Benjamin Tabak (),
Rodrigo Andrés Peñaloza () and
No 321, Working Papers Series from Central Bank of Brazil, Research Department
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.
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Journal Article: Systemic risk measures (2016)
Working Paper: SYSTEMIC RISK MEASURES (2014)
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Persistent link: http://EconPapers.repec.org/RePEc:bcb:wpaper:321
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