Systemic risk measures
Thiago Silva (),
Benjamin Tabak (),
Rodrigo Andrés Peñaloza () and
Rodrigo César de Castro Miranda
Physica A: Statistical Mechanics and its Applications, 2016, vol. 442, issue C, 329-342
In this paper we present systemic risk measures based on contingent claims approach and banking sector multivariate density. We also apply network measures to analyze bank common risk exposure. The proposed measures aim to capture credit risk stress and its potential to become systemic. These indicators capture not only individual bank vulnerability, but also the stress dependency structure between them. Furthermore, these measures can be quite useful for identifying systemically 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.
Keywords: Systemic risk; Joint default indicator; Clusters (search for similar items in EconPapers)
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Working Paper: SYSTEMIC RISK MEASURES (2014)
Working Paper: Systemic Risk Measures (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:442:y:2016:i:c:p:329-342
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