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Systemic risk measures

Author

Listed:
  • Guerra, Solange Maria
  • Silva, Thiago Christiano
  • Tabak, Benjamin Miranda
  • de Souza Penaloza, Rodrigo Andrés
  • de Castro Miranda, Rodrigo César

Abstract

In this paper we present systemic risk measures based on contingent claims approach and banking sector multivariate density. We also apply network measures to analyze bank common risk exposure. The proposed measures aim to capture credit risk stress and its potential to become systemic. These indicators capture not only individual bank vulnerability, but also the stress dependency structure between them. Furthermore, these measures can be quite useful for identifying systemically important banks. The empirical results show that these indicators capture with considerable fidelity the moments of increasing systemic risk in the Brazilian banking sector in recent years.

Suggested Citation

  • Guerra, Solange Maria & Silva, Thiago Christiano & Tabak, Benjamin Miranda & de Souza Penaloza, Rodrigo Andrés & de Castro Miranda, Rodrigo César, 2016. "Systemic risk measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 329-342.
    • Handle: RePEc:eee:phsmap:v:442:y:2016:i:c:p:329-342
    DOI: 10.1016/j.physa.2015.09.013
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