Systemic Risk Measures
AbstractIn this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank vulnerability, but also the stress dependency structure between them. Furthermore, these measures can be quite useful for identifying systematically 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.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 321.
Date of creation: Aug 2013
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Other versions of this item:
- Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- NEP-ALL-2013-08-16 (All new papers)
- NEP-BAN-2013-08-16 (Banking)
- NEP-CBA-2013-08-16 (Central Banking)
- NEP-LAM-2013-08-16 (Central & South America)
- NEP-RMG-2013-08-16 (Risk Management)
- NEP-SPO-2013-08-16 (Sports & Economics)
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