Mensuração do Risco Sistêmico no Setor Bancário com Variáveis Contábeis e Econômicas
AbstractThe systemic risk in the financial system has been a constant concern for the international institutions and supervisory authorities. The financial crises occurred in several countries have caused significant economic damages and high social costs. The objective of this study is to measure the systemic risk of the banking system, utilizing accounting and economic variables together. Through the volatilities of economic variables, like interest rate and foreign exchange rate, and accounting variables, representatives of credit quality and liquidity, it was possible to build indicators comprising risk factors. These indicators were submitted to logistic regression analysis, in order to test the statistic significance of them, and to verify the existence of a model to evaluate the probability of any banking system be classified as susceptible, or not, to financial crises. The results exposed the existence of accounting and risk indicators capable to discriminate banking systems according to the risk level. The accounting and economic variables most associated to financial crises are related to credit quality, earnings, and interest rate level. All of indicators composed by these variables showed to be relevant in the classification process. Confirming that, the equations resulted in correct classification above 90%.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 169.
Date of creation: Jul 2008
Date of revision:
Contact details of provider:
Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-14 (All new papers)
- NEP-BAN-2008-08-14 (Banking)
- NEP-RMG-2008-08-14 (Risk Management)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo).
If references are entirely missing, you can add them using this form.