دانلود مقاله ISI انگلیسی شماره 80383
ترجمه فارسی عنوان مقاله

بررسی سهم بانک ها، بیمه و سایر خدمات مالی برای ریسک سیستماتیک

عنوان انگلیسی
Assessing the contribution of banks, insurance and other financial services to systemic risk ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80383 2014 18 صفحه PDF
منبع

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

Journal : Journal of Banking & Finance, Volume 47, October 2014, Pages 270–287

ترجمه کلمات کلیدی
ریسک سیستماتیک؛ رگرسیون چندک؛ آزمون تسلط تصادفی
کلمات کلیدی انگلیسی
C21; E44; G01; G20; G28Systemic risk; CoVaR; Quantile regression; Stochastic dominance test
پیش نمایش مقاله
پیش نمایش مقاله  بررسی سهم بانک ها، بیمه و سایر خدمات مالی برای ریسک سیستماتیک

چکیده انگلیسی

The aim of this paper is to contribute to the debate on systemic risk by assessing the extent to which distress within the main different financial sectors, namely, the banking, insurance and other financial services industries contribute to systemic risk. To this end, we rely on the ΔCoVaRΔCoVaR systemic risk measure introduced by Adrian and Brunnermeier (2011). In order to provide a formal ranking of the financial sectors with respect to their contribution to systemic risk, the original ΔCoVaRΔCoVaR approach is extended here to include the Kolmogorov–Smirnov test developed by Abadie (2002), based on bootstrapping. Our empirical results reveal that in the Eurozone, for the period ranging from 2004 to 2012, the other financial services sector contributes relatively the most to systemic risk at times of distress affecting this sector. In turn, the banking sector appears to contribute more to systemic risk than the insurance sector. By contrast, the insurance industry is the systemically riskiest financial sector in the United States for the same period, while the banking sector contributes the least to systemic risk in this area. Beyond this ranking, the three financial sectors of interest are found to contribute significantly to systemic risk, both in the Eurozone and in the United States.