مقاله انگلیسی ریسک اصولی نظام مند در سیستم مالی
Abstract
Introduction
Methodology
Data and CARES estimation models
Systematic risk analysis
Systemic risk analysis
An empirical comparison of systematic and systemic risk
Conclusions
Credit author statement
I APPENDIX.
References
Abstract
We provide an international comparison of rankings for systematic and systemic risk in the financial system and examine whether both types of risk co-exist. The rankings are based on the information provided by a coherent downside risk measure, the expected shortfall (ES), which we compute from expectiles. Using rolling windows, we obtain dynamic rankings for different banks as well as for financial services and insurance firms from different international regions using principal components analysis (PCA). The main evidence for ES5% indicates that banks from Asia are the most systematic and insurance groups from Europe are the most systemic during a crisis period. Our results have implications for supervisors regarding the regulation of financial firms, as well as for investors regarding the incorporation of diversifiable and non-diversifiable risks in their portfolios.
Introduction
The recent global financial crisis and the subsequent European sovereign debt crisis highlighted the importance of analyzing primary market risk. Financial institutions tend to leverage up to the maximum, which is revealed by the structure of their balance sheets. The complex network of exposures among financial institutions creates a significant threat that the surviving institutions will lose part or all of their investment in the financial system.