Systemic risk in Danish banks: Implementing SRISK in a Danish context

Arbeitspapier

The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks and the Danish financial sector as a whole for the period 2005-15. The systemic risk contribution for a bank is measured as its propensity to be undercapitalized when a crisis occurs, i.e. when the system as a whole is undercapitalized. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09 and that the market data generally provides useful information in times of crisis. According to SRISK, the Danish financial sector is well-capitalized as of end-2015.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Danmarks Nationalbank Working Papers ; No. 105

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Thema: SRISK ; Structural GARCH ; systemic risk ; market-based indicator ; Danish financial sector ; financial crisis

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Grinderslev, Oliver Juhler ; Kristiansen, Kristian Loft
• Ereignis: Veröffentlichung
• (wer): Danmarks Nationalbank
• (wo): Copenhagen
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/171799
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ