Measurement of Systemic Risk in the Colombian Banking Sector

Orlando Rivera-Escobar, John Willmer Escobar and Diego Fernando Manotas
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Orlando Rivera-Escobar: Department of Economic Sciences, Universidad del Valle, Cali 760001, Colombia
John Willmer Escobar: Department of Accounting and Finance, Universidad del Valle, Cali 760001, Colombia
Diego Fernando Manotas: School of Industrial Engineering, Universidad del Valle, Cali 760001, Colombia

Risks, 2022, vol. 10, issue 1, 1-27

Abstract: This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK. Together, the three methodologies were implemented for the case of Colombian Banks during the 2008–2017 period. The findings allow us to establish that the Colombian banking sector did not present a systemic risk scenario, despite having suffered economic losses due to external shocks, mainly due to the subprime crisis. The results and findings show the efficiency of the systemic risk measures implemented in this study as an alternative to measure systemic risk in banking systems.

Keywords: systemic risk; banking sector; DCoVaR; MES; SRISK; quantile regression; EGARCH; DCC; value at risk (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:10:y:2022:i:1:p:22-:d:723525

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