Measuring Systemic Risk and Financial Linkages in the Thai Banking System

Roengpitya, Rungporn; Rungcharoenkitkul, Phurichai

doi:10.2139/ssrn.1773208

Cited by 30 publications

(17 citation statements)

References 13 publications

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“…In the light of the fi ndings related to the crosssectoral study, the results show that the life insurance sector contributes the most to systemic risk on the US market, while in the European countries, the real economy is clearly more infl uential in case a problem arises in the banking and fi nancial services sectors. Regarding the inter-company study, our results reveal that the major fi nancial institutions do not automatically contribute the most to systemic risk, as has been proven by the study by Roengpitya and Rungcharoenkitkul (2011).…”

Section: Resultssupporting

confidence: 63%

Assessing the Systemic Risk Between American and European Financial Systems

Orhan¹,

Benli²,

Castanho³

2020

Prague Economic Papers

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The present study focuses on the analysis of systemic risk in the American and European financial systems for the period from 20 August 2004 to 28 February 2014. The global crisis in 2007 has brought attention to the urgent need to understand the systemic risk issues and the stability of financial systems along with their actors. To assess systemic risk, Adrian and Brunnermeier (2011) advocated the use of conditional value-at-risk (CoVaR) methodology in integrating quantile regression. Instead of the value-at-risk (VaR), which is unable to detect systemic risk, we seek to use the CoVaR methodology to calculate the systemic risk levels of the United States and European markets. In the light of related findings, we conclude that the insurance sector contributes most to the systemic risk in the USA, while in the Eurozone, it is the financial services sector that is highly interconnected with systemic risk.

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Section: Resultssupporting

confidence: 63%

Assessing the Systemic Risk Between American and European Financial Systems

Orhan¹,

Benli²,

Castanho³

2020

Prague Economic Papers

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“…This methodology has been applied in a number of recent studies (e.g. Van Oordt and Zhou, 2010;Roengiptya and Rungcharoenkitkul, 2011). Our study provides two main contributions with respect to these studies.…”

Section: Related Literature and Choice Of Methodologymentioning

confidence: 99%

Short-term wholesale funding and systemic risk: A global CoVaR approach

López-Espinosa

Moreno

Rubia

et al. 2012

Journal of Banking & Finance

216

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We use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk. This version: April 24, 2012 AbstractWe use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.

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“…Our study builds on the CoVaR methodology proposed by Adrian and Brunnermeier (2009), which allows us to generate time-varying estimates of systemic risk contribution for each bank in our sample. This methodology has been applied in a number of recent studies; see, for instance, Van Oordt and Zhou (2010) and Roengiptya and Rungcharoenkitkul (2011). There are several key differences with respect to our study and that in Adrian and Brunnermeier (2009).…”

Section: Related Literaturementioning

confidence: 99%

Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach

Fund¹

2012

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.

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Measuring Systemic Risk and Financial Linkages in the Thai Banking System

Cited by 30 publications

References 13 publications

Assessing the Systemic Risk Between American and European Financial Systems

Assessing the Systemic Risk Between American and European Financial Systems

Short-term wholesale funding and systemic risk: A global CoVaR approach

Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach

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