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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA20-11769S" target="_blank" >GA20-11769S: Finanční sítě: výzkum vztahů mezi finančními trhy na základě metodiky sítí</a><br>

Návaznosti

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

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

Economic Modelling

ISSN

0264-9993

e-ISSN

1873-6122

Svazek periodika

109

Číslo periodika v rámci svazku

April

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

11

Strana od-do

1-11

Kód UT WoS článku

000886618700004

EID výsledku v databázi Scopus

2-s2.0-85123804270