Deconstructing systemic risk: A reverse stress testing approach
Javier Ojea-Ferreiro
Authors registered in the RePEc Author Service: Javier Ojea Ferreiro
CNMV Working Papers from CNMV- Spanish Securities Markets Commission - Research and Statistics Department
Abstract:
The financial sector faces different systemic events. The early recognition of these events is a key step to monitor and track possible financial crises. Three main questions arise related to systemic risk, and they deal with their quantification, their probability of occurrence and the role of main contributors. This paper proposes a methodology based on a reverse stress test exercise to shed light on these questions. Time series and cross-section information regarding systemic risk are obtained. Further, an assessment of how these results of systemic assessment could change depending on key parameters in a Gaussian framework is undertaken and, finally, a small empirical exercise is performed.
Keywords: Systemic risk; Expected Shortfall; financial model (search for similar items in EconPapers)
JEL-codes: C14 C52 C53 G12 G13 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS ... stemic_risk_ENen.pdf (application/pdf)
Related works:
Chapter: Deconstructing Systemic Risk: A Reverse Stress Testing Approach (2021)
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:cnv:wpaper:dt_74en
Ordering information: This working paper can be ordered from
Dpto. de Estudios y Estadísticas Comisión Nacional del Mercado de Valores Edison, 4 28006 Madrid, Spain
rlosada@cnmv.es
Access Statistics for this paper
More papers in CNMV Working Papers from CNMV- Spanish Securities Markets Commission - Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Jose María Moreno (jmmoreno@cnmv.es).