Estimating systemic risk for non-listed Euro-area banks

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2024-10-18 DOI:10.1016/j.jfs.2024.101339

Robert F. Engle , Tina Emambakhsh , Simone Manganelli , Laura Parisi , Riccardo Pizzeghello

引用次数: 0

Abstract

SRISK is a measure of a firms' systemic risk contribution that is computed using its listed stock market price. SRISK measurement is extended and applied to firms that do not have listed equity. A mapping from balance sheet characteristics to SRISK for listed firms is applied to SRISK for unlisted European banks. The mapping is validated by comparing SRISK measures for unlisted banks with their losses in European bank stress-testing.

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估算欧元区非上市银行的系统性风险

SRISK 是一种衡量企业系统性风险贡献的方法，利用其上市股票市场价格计算得出。SRISK 测量方法被扩展并应用于没有上市股票的公司。从资产负债表特征到上市企业 SRISK 的映射适用于非上市欧洲银行的 SRISK。通过比较非上市银行的 SRISK 测量值与欧洲银行压力测试中的损失，验证了该映射。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.