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Systemic Risk Measures

  • Solange Maria Guerra
  • Benjamin Miranda Tabak
  • Rodrigo Andrés de Souza Penaloza
  • Rodrigo César de Castro Miranda

In 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.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps321.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 321.

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Date of creation: Aug 2013
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Handle: RePEc:bcb:wpaper:321
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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  1. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  2. 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, vol. 38(2), pages 363-371, 03.
  3. 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.
  4. 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.
  5. 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.
  6. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
  7. 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.
  8. 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.
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