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Systemic risk measures: the simpler the better

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorRodríguez-Moreno, María
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-09-24T08:35:35Z
dc.date.available2010-09-24T08:35:35Z
dc.date.issued2010-09
dc.description.abstractWe compute six different sets of systemic risk measures for a sample of the 20 biggest European and 13 biggest US banks from January 2004 to November 2009. The six measures are based on i) Principal components of the bank’s Credit Default Swaps (CDSs), ii) Interbank interest rate spreads, iii) Structural credit risk models, iv) Collateralized Debt Obligations (CDOs) indexes and their tranches, v) Multivariate densities computed from CDS spreads and vi) Co-Risk measures. We then rank the measures using three different criteria: i) Causality tests, ii) Price discovery tests and iii) their correlation with an index of systemic events. For the European and US markets, the best indicators are the first Principal Component of the single-name CDSs and the LIBOR-OIS or LIBOR-TBILL spreads, respectively, whereas the least reliable indicators are the Co-Risk measures and the systemic spreads extracted from the CDO indexes and their tranches.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9291
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelC32
dc.subject.jelG01
dc.subject.jelG15
dc.subject.jelG21
dc.subject.otherSystemic risk
dc.subject.otherCDS
dc.subject.otherLibor spreads
dc.subject.otherCoVaR
dc.titleSystemic risk measures: the simpler the better
dc.typeworking paper*
dspace.entity.typePublication
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