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Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System

Author

Listed:
  • Miguel Rivera-Castro

    (ICMA Centre, Henley Business School, University of Reading)

  • Andrea Ugolini

    (Dipartimento di Statistica, Informatica, Applicazioni 'G. Parenti', Universita di Firenze)

  • Juan Arismendi Z

    (ICMA Centre, Henley Business School, University of Reading)

Abstract

In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Itaú are the origin of the larger systemic shocks from the banking system to the financial system network. The results have implications for the capital regulation of financial institutions and for risk managers' decisions.

Suggested Citation

  • Miguel Rivera-Castro & Andrea Ugolini & Juan Arismendi Z, 2016. "Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System," ICMA Centre Discussion Papers in Finance icma-dp2016-05, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2016-05
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    File URL: http://www.henley.ac.uk/files/pdf/research/papers-publications/ICM-2016-05_Rivera-Castro_et_al.pdf
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    Cited by:

    1. Andrea Calef, 2020. "Systemic Banking Crises: The Relationship Between Concentration and Interbank Connections," University of East Anglia School of Economics Working Paper Series 2019-06, School of Economics, University of East Anglia, Norwich, UK..

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    More about this item

    Keywords

    Systemic Risk; Brazilian Banking System; Banking Network; Financial Contagion; Financial Crisis;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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