Measuring Systemic Risk in the Polish Banking System by Means of the Risk-Based Balance Sheets Method
The complex connections, spillovers and feedbacks of the global financial crisis remind how important it is to improve the analysis of risk modeling. This article introduces a new framework for mitigating systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of individual banks in Poland shows potential risk which could threaten all the financial system. Traditional banking models do not adequately measure risk position of financial institutions and cannot be used to understand risk within and between balance sheets in the financial sector. A fundamental subject is that accounting balance sheets do not indicate risk exposures, which are forward-looking. The paper concludes new directions for measuring systemic risk by using Merton’s model. It shows how risk management tools can be applied in new ways to measure and analyze systemic risk in the Polish banking system.
References listed on IDEAS
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.:
- Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006.
"Macroeconomic Dynamics and Credit Risk: A Global Perspective,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, "undated". "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series 995, CESifo Group Munich.
- Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.