دانلود مقاله ISI انگلیسی شماره 80135
ترجمه فارسی عنوان مقاله

سرریز ریسک سیستماتیک در بانکداری اروپا و شبکه دارای حاکمیت

عنوان انگلیسی
Systemic risk spillovers in the European banking and sovereign network ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80135 2016 19 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Stability, Volume 25, August 2016, Pages 206–224

ترجمه کلمات کلیدی
سهم ریسک سیستماتیک؛ وابستگی تعقیبی؛ توپولوژی شبکه؛ ارتباط مستقل بانک؛ ارزش در معرض خطر
کلمات کلیدی انگلیسی
G01; G18; G32; G38; C21; C51; C63Systemic risk contribution; Tail dependence; Network topology; Sovereign-bank linkages; Value-at-Risk
پیش نمایش مقاله
پیش نمایش مقاله  سرریز ریسک سیستماتیک در بانکداری اروپا و شبکه دارای حاکمیت

چکیده انگلیسی

We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a penalized two-stage fixed-effects quantile approach, which explicitly links time-varying interconnectedness to systemic risk contributions. For the purposes of surveillance and regulation of financial systems, network dependencies in extreme risks are more relevant than simple (mean) correlations. Thus, the framework provides a tool for supervisors, reflecting the market's view of tail dependences and systemic risk contributions. The model is applied to a system of 51 large European banks and 17 sovereigns during the period from 2006 through 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the fragmentation of the European financial system has peaked.