EconPapers    
Economics at your fingertips  
 

Assessment of Systemic Risk in the Polish Banking Industry

Katarzyna Kuziak () and Krzysztof Piontek ()
Additional contact information
Katarzyna Kuziak: Wroclaw University of Economics
Krzysztof Piontek: Wroclaw University of Economics

A chapter in Contemporary Trends and Challenges in Finance, 2018, pp 145-158 from Springer

Abstract: Abstract In this paper systemic risk is meant in a very narrow sense as a risk of breakdown or major dysfunction in the banking system. Some researches use the term to include the potential insolvency of a major player in or a component of the financial. In the paper, financial indicators and the approach of Conditional Value-at-Risk (CoVaR) proposed by Adrian and Brunnermeier is used to assess systemic risk. The goal is to verify the results obtained for delta CoVaR for banks by aggregate measure of their financial condition. In the paper two methods of CoVaR estimation were applied: GARCH and quantile regression. As a measure of financial condition, the composite indicator (development measure proposed by Hellwig, containing selected financial ratios, was calculated. Empirical analysis for Polish banking industry indicates a weak or insignificant relationship between values of systemic risk measure (delta CoVaR) and the values of financial condition measure (composite indicator).

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-319-76228-9_14

Ordering information: This item can be ordered from
http://www.springer.com/9783319762289

DOI: 10.1007/978-3-319-76228-9_14

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-04-01
Handle: RePEc:spr:prbchp:978-3-319-76228-9_14