کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1000028 1481535 2015 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Calculating systemic risk capital: A factor model approach
ترجمه فارسی عنوان
محاسبه سرمایه ریسک سیستمیک: رویکرد مدل فاکتور
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی


• We treat the banking system as a traded credit portfolio and gauge total systemic risk as the portfolio's tail risk.
• We calculate bank's systemic risk capital based on its contribution to total risk.
• We propose a model that accounts for extreme event dependence.
• We quantify the level of capital shortfall when this characteristic is ignored.
• We employ a mark to market valuation approach that accounts for the risk of credit downgrades.

We treat the banking system as a traded credit portfolio and calculate systemic risk capital as the amount of capital that insures the portfolio's value against unexpected losses. Using data from the largest global financial institutions, we find evidence of extreme event dependence between banks during the recent financial crisis. Subsequently, we extend the existing Gaussian approach by proposing a model that accounts for the extreme event dependence, and we quantify the level of capital shortfall when this characteristic is ignored. Furthermore, the mark to market valuation approach incorporates the economic loss of credit downgrades into the estimates.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 16, February 2015, Pages 138–150
نویسندگان
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