Three Ways to Improve the Systemic Risk Analysis of the Central and Eastern European Region using SRISK and CoVaR

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2019-08-12 DOI:10.21314/jcr.2021.001

M. Karaś, W. Szczepaniak

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引用次数: 0

Abstract

This paper proposes three modifications to the calculation of SRISK and CoVaR. These modifications make it possible to apply the two measures to an additional 31 systemically important financial institutions in the Central and Eastern European (CEE) region. They also add information about interconnectedness and complexity, and illuminate risk factors that are endemic to CEE and Western European stock markets. We empirically analyze Bulgaria, Estonia, Czechia, Hungary, Latvia, Lithuania, Poland, Romania and Slovakia in the period from 2006 to 2018. The results confirm increased systemic risk in the years 2008–9 and 2012–13. Systemic risk rankings demonstrate the significant scale of systemic risk relative to gross domestic product for many of the countries under analysis. The results also confirm that systemic risk in the CEE region has the same theoretical properties as it does in advanced economies. This finding underlines that it is necessary to analyze the CEE region using measures of systemic risk that are at least as sophisticated as those used in the most developed countries.

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利用SRISK和CoVaR改进中东欧地区系统性风险分析的三种方法

本文对SRISK和CoVaR的计算方法提出了三种修正。这些修改使这两项措施能够适用于中欧和东欧地区另外31家具有系统重要性的金融机构。它们还增加了有关互联性和复杂性的信息，并阐明了中东欧和西欧股市特有的风险因素。我们对2006年至2018年期间的保加利亚、爱沙尼亚、捷克、匈牙利、拉脱维亚、立陶宛、波兰、罗马尼亚和斯洛伐克进行了实证分析。结果证实2008-9年和2012-13年系统性风险增加。系统风险排名表明，在所分析的许多国家中，相对于国内生产总值(gdp)，系统风险的规模相当大。研究结果还证实，中东欧地区的系统性风险具有与发达经济体相同的理论特征。这一发现强调，有必要使用至少与最发达国家使用的系统风险措施一样复杂的措施来分析中东欧地区。

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 Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.