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.
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 321.
Date of creation: Aug 2013
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-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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- De Jonghe, Olivier, 2010.
"Back to the basics in banking? A micro-analysis of banking system stability,"
Journal of Financial Intermediation,
Elsevier, vol. 19(3), pages 387-417, July.
- O. De Jonghe, 2009. "Back to the Basics in Banking? A Micro-Analysis of Banking System Stability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/579, Ghent University, Faculty of Economics and Business Administration.
- Olivier De Jonghe, 2009. "Back to the basics in banking ? A micro-analysis of banking system stability," Working Paper Research 167, National Bank of Belgium.
- Xavier Freixas & Bruno Parigi & Jean Charles Rochet, 1998.
"Systemic risk, interbank relations and liquidity provision by the Central Bank,"
Economics Working Papers
440, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 1999.
- Xavier Freixas & Bruno M. Parigi & Jean-Charles Rochet, 2000. "Systemic risk, interbank relations, and liquidity provision by the central bank," Proceedings, Federal Reserve Bank of Cleveland, pages 611-640.
- Freixas, Xavier & Parigi, Bruno M & Rochet, Jean-Charles, 2000. "Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 611-38, August.
- X. Freixas & B. Parigi & J-C. Rochet, 2000. "Systemic Risk, Interbank Relations and Liquidity Provision by theCentral Bank," DNB Staff Reports (discontinued) 47, Netherlands Central Bank.
- Freixas, Xavier & Parigi, Bruno & Rochet, Jean Charles, 1999. "Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank," CEPR Discussion Papers 2325, C.E.P.R. Discussion Papers.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
- Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benjamin Tabak).
If references are entirely missing, you can add them using this form.