Measuring Systemic Risk in the Colombian Financial System: Systemic Contingent Claims Approach

Mariana Laverde, Esteban Gómez () and Miguel Morales Mosquera ()
Authors registered in the RePEc Author Service: Laura Marcela Capera Romero

Temas de Estabilidad Financiera from Banco de la Republica de Colombia

Abstract: The financial crisis of the late 2000's underscored the importance of identifying systemically significant institutions and developing mechanisms for the latter to internalize the externalities they create on the economy should they fail. Using monthly data for the period comprised between September, 2001 - March, 2011, we calculated bank-specific probabilities of default and expected losses given default. Subsequently, we estimated the joint distribution of such expected losses and found the aggregate cost of the implicit bailout option for the government. Our results suggest that even though systemic risk is currently not a major concern in the Colombian banking system, it is necessary to enhance the supervisory and regulatory framework to include quantitative measures of this risk.

Keywords: Contingent Claims; Systemic Risk; Macroprudential Supervision; Black-Scholes-Merton; Copula. (search for similar items in EconPapers)
JEL-codes: G12 G13 G18 G21 G28 (search for similar items in EconPapers)
Date: 2011-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.32468/tef.60 (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:bdr:temest:060

Access Statistics for this paper

More papers in Temas de Estabilidad Financiera from Banco de la Republica de Colombia Cra 7 # 14-78 Piso 4. Contact information at EDIRC.
Bibliographic data for series maintained by Clorith Angélica Bahos-Olivera ().