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Measurement of Systemic Risk in the Colombian Banking Sector

Author

Listed:
  • Orlando Rivera-Escobar

    (Department of Economic Sciences, Universidad del Valle, Cali 760001, Colombia)

  • John Willmer Escobar

    (Department of Accounting and Finance, Universidad del Valle, Cali 760001, Colombia)

  • Diego Fernando Manotas

    (School of Industrial Engineering, Universidad del Valle, Cali 760001, Colombia)

Abstract

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK. Together, the three methodologies were implemented for the case of Colombian Banks during the 2008–2017 period. The findings allow us to establish that the Colombian banking sector did not present a systemic risk scenario, despite having suffered economic losses due to external shocks, mainly due to the subprime crisis. The results and findings show the efficiency of the systemic risk measures implemented in this study as an alternative to measure systemic risk in banking systems.

Suggested Citation

  • Orlando Rivera-Escobar & John Willmer Escobar & Diego Fernando Manotas, 2022. "Measurement of Systemic Risk in the Colombian Banking Sector," Risks, MDPI, vol. 10(1), pages 1-27, January.
    • Handle: RePEc:gam:jrisks:v:10:y:2022:i:1:p:22-:d:723525
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    References listed on IDEAS

    as
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    Cited by:

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    2. Navya Jayesh Mehta & Fan Yang, 2022. "Portfolio Optimization for Extreme Risks with Maximum Diversification: An Empirical Analysis," Risks, MDPI, vol. 10(5), pages 1-26, May.
    3. Pejman Peykani & Mostafa Sargolzaei & Negin Sanadgol & Amir Takaloo & Hamidreza Kamyabfar, 2023. "The application of structural and machine learning models to predict the default risk of listed companies in the Iranian capital market," PLOS ONE, Public Library of Science, vol. 18(11), pages 1-24, November.

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