Riesgo Sistémico. Una aproximación para el sistema bancario uruguayo

Silvina Castelao (), Sofía Palmigiani and Patricia Lampes
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Silvina Castelao: Banco Central del Uruguay

No 2013003, Documentos de trabajo from Banco Central del Uruguay

Abstract: This paper introduces a first measure for Uruguay's of the contribution to systemic risk of banks. The aim was to serve as a basis for the establishment of capital requirements for systemic risk as recommended by Basel III. It was used an adaptation for Uruguay of CoVaR methodology of Adrian and Brunnermeier (2010) finding that the main source of systemic risk comes from the exposure of banking institutions to exchange rate risk. Finally, we construct a classification of Uruguay's commercial banks based on their contribution to systemic risk banking.

Keywords: Value-at-risk; macroprudential regulation; systemic risk; banking system; Value-at-Risk; regulación macroprudencial; riesgo sistémico; sistema bancario (search for similar items in EconPapers)
JEL-codes: E44 E58 G18 G21 G28 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2013
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