Global systemic risk measures and their forecasting power for systemic events

Autor(en): Grundke, Peter 
Tuchscherer, Michael
Stichwörter: Banking network model; Business & Economics; Business, Finance; CAPITAL SHORTFALL; CONTAGION; financial crisis; FINANCIAL INSTITUTIONS; MODEL; NETWORK STRUCTURE; systemic risk measures
Erscheinungsdatum: 2019
Herausgeber: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Journal: EUROPEAN JOURNAL OF FINANCE
Volumen: 25
Ausgabe: 3
Startseite: 205
Seitenende: 233
Zusammenfassung: 
Since the financial crisis of 2007-2009, many market-based systemic risk measures have been proposed. Prominent examples are MES, SRISK or Delta CoVaR. Based on a simulation study in an extended banking network model that incorporates several sources of systemic risk, we analyze how well these systemic risk measures perform in indicating the risk of a systemic event. For this analysis, the systemic risk measures of the banks that default and whose default is followed by a systemic event are compared with the systemic risk measures of those defaulting banks for which no subsequent systemic event can be observed. Within the simulation study, we find that many bank-individual systemic risk measures are statistically significant in explaining the likelihood of a systemic event after a bank's default. However, the economic significance of the bank-individual systemic risk measures is relatively low.
ISSN: 1351847X
DOI: 10.1080/1351847X.2018.1509102

Show full item record

Page view(s)

9
Last Week
0
Last month
0
checked on Feb 26, 2024

Google ScholarTM

Check

Altmetric