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

Oliver Juhler Grinderslev and Kristian Loft Kristiansen (beide Danmarks Nationalbank)

The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09. According to SRISK, the Danish financial sector is well-capitalized as of end-2015.

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Year of publication:	February 2016
Authors:	Grinderslev, Oliver Juhler ; Kristiansen, Kristian Loft
Publisher:	Copenhagen : Danmarks Nationalbank
Subject:	SRISK \| Structural GARCH \| systemic risk \| market-based indicator \| Danish financial sector \| financial crisis \| Dänemark \| Denmark \| Finanzkrise \| Financial crisis \| Systemrisiko \| Systemic risk \| Finanzsektor \| Financial sector \| Bankrisiko \| Bank risk \| Bankenkrise \| Banking crisis \| Finanzmarkt \| Financial market