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Measuring Systemic Risk in the Polish Banking System by Means of the Risk-Based Balance Sheets Method


  • Karkowska Renata

    () (University of Warsaw Faculty of Management Szturmowa 1/3, 02-678 Warsaw, Poland)


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.

Suggested Citation

  • Karkowska Renata, 2012. "Measuring Systemic Risk in the Polish Banking System by Means of the Risk-Based Balance Sheets Method," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 12(2), pages 7-18, December.
  • Handle: RePEc:vrs:foeste:v:12:y:2012:i:2:p:7-18:n:10

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    References listed on IDEAS

    1. 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.
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    Cited by:

    1. Malgorzata Olszak & Mateusz Pipien & Iwona Kowalska & Sylwia Roszkowska, 2015. "The impact of capital on lending in publicly-traded and privately- held banks in the EU," Faculty of Management Working Paper Series 72015, University of Warsaw, Faculty of Management.
    2. Renata Karkowska, 2016. "Sources of Foreign Currency Debt in European Countries (Zrodla zadluzenia walutowego w krajach europejskich)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 14(63), pages 74-88.
    3. Renata Karkowska, 2015. "The role of investment banking in systemic risk profiles. Evidence from a panel of EU banking sectors," Faculty of Management Working Paper Series 22015, University of Warsaw, Faculty of Management.
    4. Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.

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