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2017-08-23Diskussionspapier DOI: 10.18452/18741
The systemic risk of central SIFIs
dc.contributor.authorChen, Cathy Yi-Hsuan
dc.contributor.authorNasekin, Sergey
dc.date.accessioned2018-01-24T14:11:03Z
dc.date.available2018-01-24T14:11:03Z
dc.date.issued2017-08-23
dc.identifier.urihttp://edoc.hu-berlin.de/18452/19454
dc.description.abstractSystemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of interest and their joint distribution are less addressed. To quantify systemic risk in a system-wide perspective, we propose a network-based factor copula approach to study systemic risk in a network of systemically important financial institutions (SIFIs). The factor copula model offers a variety of dependencies/tail dependencies conditional on the chosen factor; thus constructing conditional network. Given the network, we identify the most “connected” SIFI as the central SIFI, and demonstrate that its systemic risk exceeds that of non-central SIFIs. Our identification of central SIFIs shows a coincidence with the bucket approach proposed by the Basel Committee on Banking Supervision, but places more emphasis on modeling the interplay among SIFIs in order to generate systemwide quantifications. The network defined by the tail dependence matrix is preferable to that defined by the Pearson correlation matrix since it confirms that the identified central SIFI through it severely impacts the system. This study contributes to quantifying and ranking the systemic importance of SIFIs.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectfactor copulaeng
dc.subjectnetworkeng
dc.subjectValue-at-Riskeng
dc.subjecttail dependenceeng
dc.subjecteigenvector centralityeng
dc.subject.ddc330 Wirtschaft
dc.titleThe systemic risk of central SIFIs
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/19454-4
dc.identifier.doihttp://dx.doi.org/10.18452/18741
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages46
local.edoc.type-nameDiskussionspapier
local.edoc.institutionWirtschaftswissenschaftliche Fakultät
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2017
local.edoc.container-issue21
local.edoc.container-erstkatid2195055-6

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