Comparing Different Systemic Risk Measures for European Banking System
| Autor: | Annalisa Di Clemente |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Component Expected Shortfall
050208 finance Index (economics) 05 social sciences European banking system Sample (statistics) Systemic risk ranking Expected shortfall Marginal Expected Shortfall Ranking Delta Conditional Value-at-Risk 0502 economics and business Systemic risk Econometrics Economics Copula Function Extreme Value Theory Metric (unit) Multivariate t-distribution 050207 economics Marginal distribution Systemic risk ranking European banking system Marginal Expected Shortfall Delta Conditional Value-at-Risk Component Expected Shortfall Copula Function Extreme Value Theory |
| Zdroj: | International Business Research. 12:35 |
| ISSN: | 1913-9012 1913-9004 |
| DOI: | 10.5539/ibr.v12n1p35 |
| Popis: | This research examines and compares the performances in terms of systemic risk ranking for three different systemic risk metrics based on daily frequency publicly available data, specifically: Marginal Expected Shortfall (ES), Component Expected Shortfall (CES) and Delta Conditional Value-at-Risk (ΔCoVaR). We compute ΔCoVaR, MES and CES by utilizing EVT principles for modelling marginal distributions and Student’s t copula for describing the dependence structure between every bank and the banking system. Our objective is to attest whether different systemic risk metrics detect the same banks as systemically dangerous institutions with refer to a sample of European banks over the time span 2004-2015. For each bank in the sample we also calculate three traditional market risk measures, like Market VaR, Sharpe’s beta and the correlation between every bank and the banking system (European STOXX 600 Banks Index). Another aim is to explore the existence of a link among systemic risk measures and traditional risk metrics. In addition, the classification results obtained by the different risk metrics are compared with the ranking in terms of systemic riskiness (for European banks) calculated by Financial Stability Board (2015) using end-2014 data and collected in its list of Global Systemically Important Banks (G-SIBs). With refer to the entire sample period, we find a good coherence of ranking results among the three different systemic risk metrics, in particular between CES and ΔCoVaR. Moreover, we find for MES and ΔCoVaR a strong linkage with beta and correlation metrics respectively. Finally, CES metric shows the highest level of concordance with the list of G-SIBs by FSB with refer to European banks. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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