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Systemic Risk Measures

Listed author(s):
  • 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
Handle: RePEc:bcb:wpaper:321
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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  7. Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.
  8. 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.
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  12. 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.
  13. 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.
  14. Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
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