Systemic risk contributions: A credit portfolio approach
Natalia Puzanova and
Authors registered in the RePEc Author Service: Natalia Tente
Journal of Banking & Finance, 2013, vol. 37, issue 4, 1243-1257
We put forward a framework for measuring systemic risk and attributing it to individual banks. Systemic risk is coherently measured as the expected loss to depositors and investors when a systemic event occurs. The risk contributions are calculated so as to ensure a full risk allocation among institutions. Applying our methodology to a panel of 54–86 of the world’s major commercial banks for a 13-year time span with monthly frequency not only allows us to closely match the list of G-SIBs; we can also use individual risk contributions to compute bank-specific surcharges: systemic capital charges as well as countercyclical buffers. We therefore address both dimensions of systemic risk – cross-sectional and time-series – in a single integrated approach. As the analysis of risk drivers confirms, the main focus of macroprudential supervision should be on a solid capital base throughout the financial cycle and de-correlation of banks’ asset values.
Keywords: Systemic risk; Systemic risk contributions; Systemic capital charge; Countercyclical capital buffer; Expected shortfall; Importance sampling (search for similar items in EconPapers)
JEL-codes: G21 G28 C15 C63 (search for similar items in EconPapers)
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Working Paper: Systemic risk contributions: a credit portfolio approach (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:4:p:1243-1257
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