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2014 | 14 | nr 2 | 114--124
Tytuł artykułu

What Kind of Systemic Risks Do We Face in the European Banking Sector? The Approach of CoVaR Measure

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank's capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.(original abstract)
Rocznik
Tom
14
Numer
Strony
114--124
Opis fizyczny
Twórcy
  • University of Warsaw, Poland
Bibliografia
  • Adrian, T., Shin, H. (2010). The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-2009. Annual Review of Economics, (2), 603-618.
  • Adrian, T., Brunnermeier, M.K. (2011). CoVaR. Federal Reserve Bank of New York.
  • Acharya, V., Pedersen, L., Philippon, T., Richardson, M. (2010). Measuring systemic risk. Technical report, Department of Finance, NYU.
  • Brady, N.F. (1988). Report of the Presidential Task Force on Market Mechanisms. U.S. Government Printing Office.
  • Brownlees, C., Engle, R. (2010). Volatility, Correlation and Tails for Systemic Risk Measurement. Working Paper Series, Department of Finance, NYU.
  • Brunnermeier, M.K., Crocket, A., Goodhart, C., Perssaud, A., Shin, H. (2009). The Fundamental Principles of Financial Regulation. 11th Geneva Report on the World Economy.
  • Brunnermeier, M.K. (2009). Deciphering the Liquidity and Credit Crunch 2007-2008. Journal of Economic Perspectives, 23 (1), 77-100.
  • Jorion, P. (2006). Value at Risk. McGraw-Hill, 3rd edn.
  • Kupiec, P. (2002). Stress-testing in a Value at Risk Framework, Risk Management: Value at Risk and Beyond.
  • Rubin, R.E., Greenspan, A., Levitt, A., Born, B. (1999). Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management. Report of The President's Working Group on Financial Markets.
  • Tasche, D. (2000). Risk Contributions and Performance Measurement. DP University of Munich.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
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