Network tail risk estimation in the European banking system
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247515" target="_blank" >RIV/61989100:27510/21:10247515 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/abs/pii/S0165188921000609?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/abs/pii/S0165188921000609?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jedc.2021.104125" target="_blank" >10.1016/j.jedc.2021.104125</a>
Alternative languages
Result language
angličtina
Original language name
Network tail risk estimation in the European banking system
Original language description
Measuring interconnectedness in a banking system to identify the potential transmission channels of systemic risk is a main issue for the analysis of financial stability. We develop a methodology based on conditional tail risk networks to assess the channels of transmission in a banking system and to identify the most relevant and/or fragile institutions. The networks are constructed using quantile graphical models and the proposed framework can be considered as a network extension of the ΔCoVaR approach by Adrian and Brunnermeier (2016). From the conditional tail risk networks we can then compute synthetic indices of systemic risk for each bank. An additional set of systemic risk indicators is computed by considering together the network of conditional tail risk and bank-specific indicators of credit risk (as an example we use the ratio of non-performing loans, NPL). The empirical analysis focuses on the European banking system and considers a panel of 36 representative banks. Among the main findings, we found evidence of regional clusters of interconnected banks, especially in crisis period. Moreover, in terms of interconnectedness alone, systemic risk is diffused relatively evenly across European banks, while the set of systemic indicators built using also NPL highlighted a concentration of risk in southern European countries. (C) 2021 Elsevier B.V.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA19-11965S" target="_blank" >GA19-11965S: A network approach to portfolio optimization and tracking problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Economic Dynamics and Control
ISSN
0165-1889
e-ISSN
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Volume of the periodical
127
Issue of the periodical within the volume
June
Country of publishing house
US - UNITED STATES
Number of pages
18
Pages from-to
104125
UT code for WoS article
000702449800018
EID of the result in the Scopus database
2-s2.0-85105726747