Assessing Systemic Risk in the Brazilian Interbank Market
AbstractIn this paper, we propose a methodology to measure systemic risk that stems from financial institutions (FIs) interconnected in interbank markets. We show that this framework is useful to identify systemically important FIs. This methodology can be used to perform stress tests using additional information from FIs default probabilities and their correlation structure. We present how to implement this methodology and apply it to the Brazilian case. We also evaluate the effects of the recent global crisis on the interbank market.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 318.
Date of creation: Jul 2013
Date of revision:
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
- NEP-BAN-2013-08-05 (Banking)
- NEP-FMK-2013-08-05 (Financial Markets)
- NEP-LAM-2013-08-05 (Central & South America)
- NEP-RMG-2013-08-05 (Risk Management)
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