Systemic risk measures

被引：24

作者：

Guerra, Solange Maria ^{[1
]}

Silva, Thiago Christiano ^{[1
]}

Tabak, Benjamin Miranda ^{[2
]}

de Souza Penaloza, Rodrigo Andres ^{[3
]}

de Castro Miranda, Rodrigo Cesar ^{[3
,4
]}

机构：

[1] Banco Cent Brasil, Res Dept, Brasilia, DF, Brazil

[2] Univ Catolica Brasilia, Brasilia, DF, Brazil

[3] Univ Brasilia, BR-70910900 Brasilia, DF, Brazil

[4] Banco Cent Brasil, Brasilia, DF, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 442卷

关键词：

Systemic risk; Joint default indicator; Clusters; FINANCIAL STABILITY; CREDIT RISK; NETWORKS;

D O I：

10.1016/j.physa.2015.09.013

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：329 / 342

页数：14

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