دانلود مقاله ISI انگلیسی شماره 80256
ترجمه فارسی عنوان مقاله

ریسک سیستماتیک نهادهای مالی اروپا: ارزیابی و رتبه بندی شده توسط کسری موردانتظار حاشیه ای

عنوان انگلیسی
Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80256 2016 22 صفحه PDF
منبع

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

Journal : Research in International Business and Finance, Volume 37, May 2016, Pages 113–134

ترجمه کلمات کلیدی
ریسک سیستماتیک؛ مس؛ نهادهای مالی اروپا؛
کلمات کلیدی انگلیسی
D53; E02; E44; G21; G32Systemic risk; MES; European financial institutions; DECO-GARCH
پیش نمایش مقاله
پیش نمایش مقاله  ریسک سیستماتیک نهادهای مالی اروپا: ارزیابی و رتبه بندی شده توسط کسری موردانتظار حاشیه ای

چکیده انگلیسی

The task of processing systemic events and its negative externalities requires approaches to measure systemic risks and break it down into contributions of different institutions. The main objective of the present paper is to estimate the systemic risk of European banks following the financial crisis of 2007. To do so, we estimate the systemic risk of a sample composed of 281 financial institutions grouped in 16 European countries during the period from January 01, 2006 to December 31, 2012. We use the Marginal Expected Shortfall (MES) to measure systemic risk. The empirical results show that the systemic risk supported by European banks is very high. Moreover, the contribution of financial institutions in the risk of their system is very important as a result of the high correlation between institution returns and market returns. This correlation is measured by DECO-GARCH (1,1) introduced for the first time to assess systemic risk of financial institutions. This high level of systemic risk prompted the international authorities to intervene, as is the case of the countries of the Euro zone, where the International Monetary Fund, the European Central Bank and the World Bank intervened but did not lead to a permanent solution to limit the accumulation of systemic risk.