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Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network

Miguel A. Rivera-Castro, Andrea Ugolini and Juan Arismendi Zambrano ()

Emerging Markets Review, 2018, vol. 35, issue C, 164-189

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 real economy, and the region. 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: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189

DOI: 10.1016/j.ememar.2018.02.004

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