Arbeitspapier

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

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.

Language
Englisch

Bibliographic citation
Series: Danmarks Nationalbank Working Papers ; No. 105

Classification
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
Subject
SRISK
Structural GARCH
systemic risk
market-based indicator
Danish financial sector
financial crisis

Event
Geistige Schöpfung
(who)
Grinderslev, Oliver Juhler
Kristiansen, Kristian Loft
Event
Veröffentlichung
(who)
Danmarks Nationalbank
(where)
Copenhagen
(when)
2016

Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Grinderslev, Oliver Juhler
  • Kristiansen, Kristian Loft
  • Danmarks Nationalbank

Time of origin

  • 2016

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