The Nature and Assessment of Systemic Risk in Terms of Liquidity of the Banking System

Lavreniuk Vladyslav V. () and Shevchuk Volodymyr V. ()
Additional contact information
Lavreniuk Vladyslav V.: Kyiv National Economic University named after V. Hetman
Shevchuk Volodymyr V.: Kyiv National Economic University named after V. Hetman

The Problems of Economy, 2016, issue 4, 213_222

Abstract: The aim of the article is to determine the nature of systemic risk as a threat to the financial stability of the banking system and develop analytical tools to assess its impact on the banking system in terms of its liquidity. To solve the tasks assigned, there used general scientific and specific methods, such as: logical and dialectical method, mathematical and graphical one. Based on the generalization, analysis and comparison of different interpretations, there clarified the concept of “systemic risk†as a risk generated by financial institutions or individual sectors through the implementation of the mechanism of risk transmission, achieving significant scale of distribution and adversely affecting the stability of the financial system and the real sector of economy. There identified key aspects of systemic risk: a) systemic risk is not a sum of all individual risks of financial institutions; b) spreads through the channels of interconnectedness between financial institutions; c) is a result of accumulated structural imbalances; d) affects the stability of the financial/banking system, public confidence and the real sector of economy. Analytical tools for estimation of the bank’s contribution to the systemic liquidity risk on the basis of which it is determined that the first place in terms of the effect on the aggregate systemic risk of liquidity of the Ukrainian banking system is occupied by banks of Group I, the second place — by Privatbank, the third, fourth, fifth places — by banks in Group II — Oschadbank, Ukreximbank. It is found that it is systemically important state-owned banks that have a significant impact on systemic liquidity risk. It is determined that the probability of default of a leading systemically important bank could result in considerable cumulative losses for the entire banking system and real economy. The prospects of further research are the development of tools for systemic risk assessment with respect to interbank relationships.

Keywords: liquidity; systemic risk; stability of the banking system; systemically important bank; macroprudential policy (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.problecon.com/export_pdf/problems-of-ec ... _0-pages-213_222.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:idp:redpoe:y:2016:i:4:p:213_222

Access Statistics for this article

The Problems of Economy is currently edited by Kizim Nikolay A.

More articles in The Problems of Economy from RESEARCH CENTRE FOR INDUSTRIAL DEVELOPMENT PROBLEMS of NAS (KHARKIV, UKRAINE)
Bibliographic data for series maintained by Alexey Rystenko ().