Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network

被引：14

作者：

Rivera-Castro, Miguel A. ^{[1
]}

Ugolini, Andrea ^{[1
]}

Zambrano, Juan Arismendi ^{[2
,3
]}

机构：

[1] Univ Salvador, Post Grad Programme Management PPGA, Rua Dr Jose Peroba 251, BR-41770235 Salvador, BA, Brazil

[2] Maynooth Univ, Natl Univ Ireland, Dept Econ Finance & Accounting, Maynooth W23 HW31, Kildare, Ireland

[3] Univ Reading, Henley Business Sch, ICMA Ctr, Reading RG6 6BA, Berks, England

来源：

EMERGING MARKETS REVIEW | 2018年 / 35卷

关键词：

Systemic risk; Brazilian banking system; Banking network; Financial contagion; Financial crisis; FINANCIAL NETWORKS; DEPENDENCE; CONNECTEDNESS; MARKETS; MODELS; RETURN; COVAR;

D O I：

10.1016/j.ememar.2018.02.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 Itau are the origin of the larger systemic shocks from the banking system to the financial system network, the real economy, and the region. The results have implications for the capital regulation of financial institutions and for risk managers' decisions. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：164 / 189

页数：26

共 47 条

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