Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00129415" target="_blank" >RIV/00216224:14560/22:00129415 - isvavai.cz</a>

Result on the web

<a href="https://www.sciencedirect.com/science/article/pii/S0264999322000219" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0264999322000219</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.econmod.2022.105775" target="_blank" >10.1016/j.econmod.2022.105775</a>

Result language

angličtina

Original language name

Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

Original language description

We propose a new systemic risk index based on the interdependence of extreme downside movements of stock returns using the cross-quantilogram and network analysis approach. While quantile dependence allows for sensitivity in times of market downturn, the topological network properties allow for capturing the interconnectedness of the banking system and identification of the specific contribution of each individual bank. Using this design, the proposed systemic risk index is not only easy to calculate and interpret but identifies the banking system's significant transmitters and receivers of extreme downside risk. For the empirical evaluation of the proposed risk index, we use a sample of 83 large banks during the 2003–2020 period, spanning multiple recent crises affecting the banking market. The proposed index is found to be robust in comparison to major alternative systemic risk measures.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50206 - Finance

Project

<a href="/en/project/GA20-11769S" target="_blank" >GA20-11769S: Financial Networks: Examining Financial Markets Linkages using Network Approach</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2022

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Economic Modelling

ISSN

0264-9993

e-ISSN

1873-6122

Volume of the periodical

109

Issue of the periodical within the volume

April

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

11

Pages from-to

1-11

UT code for WoS article

000886618700004

EID of the result in the Scopus database

2-s2.0-85123804270