IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper

Systemic Risk Measures

  • SOLANGE MARIA GUERRA
  • BENJAMIN MIRANDA TABAK
  • RODRIGO ANDRÉS DE SOUZA PENALOZA
  • RODRIGO CÉSAR DE CASTRO MIRAND

In this paper we present systemic risk measures based on contingent claims approach and banking sector multivariate density. We also apply network measures to analyze bank common risk exposure. The proposed measures aim to capture credit risk stress and its potential to become systemic. These indicators capture not only individual bank vulnerability, but also the stress dependency structure between them. Furthermore, these measures can be quite useful for identifying systemically 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.

(This abstract was borrowed from another version of this item.)

If 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.

File URL: http://www.anpec.org.br/encontro/2013/files_I/i8-609aaeb672c5614af0442bb5ee8a48dc.pdf
Download Restriction: no

Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] with number 124.

as
in new window

Length:
Date of creation: 2014
Date of revision:
Handle: RePEc:anp:en2013:124
Contact details of provider: Postal:
Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil

Phone: 55 21 3674 7952
Fax: 55-11-3091-6073
Web page: http://www.anpec.org.br
Email:


More information through EDIRC

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.:

as in new window
  1. Vazquez, Francisco & Tabak, Benjamin M. & Souto, Marcos, 2012. "A macro stress test model of credit risk for the Brazilian banking sector," Journal of Financial Stability, Elsevier, vol. 8(2), pages 69-83.
  2. 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.
  3. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
  4. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
  5. Benjamin M. Tabak & Daniel O. Cajueiro & A. Luduvice, 2011. "Modeling Default Probabilities: the case of Brazil," Working Papers Series 232, Central Bank of Brazil, Research Department.
  6. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2013. "Systemically important banks and financial stability: The case of Latin America," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3855-3866.
  7. Xin Huang & Hao Zhou & Haibin Zhu, 2010. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," BIS Working Papers 296, Bank for International Settlements.
  8. De Jonghe, O.G., 2009. "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Discussion Paper 2009-45 S, Tilburg University, Center for Economic Research.
  9. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A framework for assessing the systemic risk of major financial institutions," Finance and Economics Discussion Series 2009-37, Board of Governors of the Federal Reserve System (U.S.).
  10. Theophilos Papadimitriou & Periklis Gogas & Benjamin M. Tabak, 2013. "Complex Networks and Banking Systems Supervision," Working Papers Series 306, Central Bank of Brazil, Research Department.
  11. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
  12. Düllmann, Klaus & Puzanova, Natalia, 2011. "Systemic risk contributions: a credit portfolio approach," Discussion Paper Series 2: Banking and Financial Studies 2011,08, Deutsche Bundesbank, Research Centre.
  13. Tabak, Benjamin M. & Takami, Marcelo & Rocha, Jadson M.C. & Cajueiro, Daniel O. & Souza, Sergio R.S., 2014. "Directed clustering coefficient as a measure of systemic risk in complex banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 211-216.
  14. Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak, 2015. "Monitoring Vulnerability and Impact Diffusion in Financial Networks," Working Papers Series 392, Central Bank of Brazil, Research Department.
  15. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
  16. Tolga Umut Kuzubas & Inci Omercikoglu & Burak Saltoglu, 2013. "Network Centrality Measures and Systemic Risk: An Application to the Turkish Financial Crisis," Working Papers 2013/12, Bogazici University, Department of Economics.
  17. Miguel A. Segoviano, 2006. "Consistent information multivariate density optimizing methodology," LSE Research Online Documents on Economics 24511, London School of Economics and Political Science, LSE Library.
  18. 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.
  19. Jin, Xisong & Nadal De Simone, Francisco de A., 2014. "Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
  20. Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.
  21. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004. "Networks of equities in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 38(2), pages 363-371, 03.
  22. 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.
  23. Marcos Souto & Benjamin M. Tabak & Francisco Vazquez, 2009. "Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks," Working Papers Series 189, Central Bank of Brazil, Research Department.
  24. Miguel A. Segoviano & Charles Goodhart, 2009. "Banking stability measures," LSE Research Online Documents on Economics 24416, London School of Economics and Political Science, LSE Library.
  25. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57 Bank for International Settlements.
  26. 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.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:anp:en2013:124. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rodrigo Zadra Armond)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.