δείτε την πρωτότυπη σελίδα τεκμηρίου στον ιστότοπο του αποθετηρίου του φορέα για περισσότερες πληροφορίες και για να δείτε όλα τα ψηφιακά αρχεία του τεκμηρίου*
Systemic risk and financial stability
Moutsianas, Konstantinos
With Europe at the epicenter of the current financial crisis, the analysis of the systemic risk of banking systems constitutes an issue of great importance for supervisory authorities and central banks. Taking into consideration that a financial crisis can be evolved to a systemic crisis if many banks collapse simultaneously or if a bank’s failure spread to the other banks of the financial system (Acharya 2009), the assessment and the estimation of the systemic risk is crucial for the improvement of the supervisory framework of the financial institutions. The research objective of the thesis is the identification and the understanding of the contribution of European banks as well as the measurement of systemic risk. Our research is motivated by the current euro area’s crisis which is characterized by the twin crises of banking and sovereign debt crisis. For the measurement of the systemic risk we employ a methodology first proposed by Adrian and Brunnermeier (2011) which is based on the CoVaR. CoVaR is defined as the value at risk (VaR) of the financial system conditional on a financial institution being under financial distress. The financial institution’s contribution to systemic risk is defined as the difference (ΔCoVaR) between CoVaR conditional on the institution being under financial distress and CoVaR in the median state of the institution. ‘Co’, stands for conditional, co-movement, contagion and contribution of a bank to systemic risk.
School of Economics and Business Administration, Msc in Banking and Finance
http://creativecommons.org/licenses/by-nc/4.0
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