Systemic risk measures: the simpler the better

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dc.contributor.author Rodríguez-Moreno, María
dc.contributor.author Peña, Juan Ignacio
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2010-09-24T08:35:35Z
dc.date.available 2010-09-24T08:35:35Z
dc.date.issued 2010-09
dc.identifier.uri http://hdl.handle.net/10016/9291
dc.description.abstract We 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.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Systemic risk
dc.subject.other CDS
dc.subject.other Libor spreads
dc.subject.other CoVaR
dc.title Systemic risk measures: the simpler the better
dc.type workingPaper
dc.subject.jel C32
dc.subject.jel G01
dc.subject.jel G15
dc.subject.jel G21
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
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