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

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Extent:	1 Online-Ressource (circa 44 Seiten) Illustrationen
Series:	Danmarks Nationalbank working papers. - Copenhagen : [Verlag nicht ermittelbar], ISSN 1602-1193, ZDB-ID 2480939-1. - Vol. no. 105
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zusammenfassung in dänischer Sprache
Other identifiers:	hdl:10419/171799 [Handle]
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011439967