Systemic risk measures
作者： Solange Maria Guerra , Thiago Christiano Silva , Benjamin Miranda Tabak , Rodrigo Andrés de Souza Penaloza , Rodrigo César de Castro Miranda
DOI: 10.1016/J.PHYSA.2015.09.013
关键词:
摘要: Abstract In this paper we present systemic risk measures based on contingent claims approach and banking sector multivariate density. We also apply network to analyze bank common exposure. The proposed aim capture credit stress its potential become systemic. These indicators not only individual vulnerability, but the dependency structure between them. Furthermore, these can be quite useful for identifying systemically important banks. empirical results show that with considerable fidelity moments of increasing in Brazilian recent years.
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