MEASURING SYSTEMIC RISK AND FINANCIAL LINKAGES IN THE THAI BANKING SYSTEM

Rungporn Roengpitya and Phurichai Rungcharoenkitkul
Additional contact information
Rungporn Roengpitya: Bank of Thailand

No 2010-02, Working Papers from Monetary Policy Group, Bank of Thailand

Abstract: This paper addresses the measurement issues of systemic risk in the Thai banking sector. The concept of conditional value-at-risk (CoVaR), due to Adrian and Brunnermeier (2008), was used to quantify the level of systemic risk and financial linkages among six major Thai commercial banks over the period of 1996Q2-2009Q1. Intuitively, CoVaR measures the degree of ‘risk externalities’ that a single institution imposes on the system. We found that there was additional risk imposed onto the overall system by individual banks, both during the Asian crisis time and in subsequent periods. There is some evidence that larger banks contribute more to this systemic risk, as measured by the concept of “?CoVaR,” but size is far from being a dominant factor. We further apply the concept of CoVaR to measure the financial linkage between any two banks and investigate the changing nature of the linkages over time as well as other bank characteristics that drive such inter-bank relationships. These measures of risk externalities serve as a useful additional toolbox to the regulators, and themselves have novel regulatory implications.

Pages: 44 pages
Date: 2010-02-26
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.bot.or.th/Thai/EconomicConditions/Publi ... per/dp022010_eng.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.bot.or.th/Thai/EconomicConditions/Publication/DiscussionPaper/dp022010_eng.pdf [301 Moved Permanently]--> https://www.bot.or.th/Thai/EconomicConditions/Publication/DiscussionPaper/dp022010_eng.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:bth:wpaper:2010-02

Access Statistics for this paper

More papers in Working Papers from Monetary Policy Group, Bank of Thailand Contact information at EDIRC.
Bibliographic data for series maintained by Pornpinun Chantapacdepong ( this e-mail address is bad, please contact ).