After the financial crisis in 2008, the world becamemore aware of the importance of the systemic risk. Within China's financial system, commercial banks have a dominant position. Therefore, the study of systemic risk of the banking industry in China has an important and real meaning. The present...

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a representative sample of Eurozone banks between 2011 and 2022....

Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...

Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US banks can be explained by a series of...

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable from the multivariate probability distribution describing the reciprocal influence between the system's variables. The effect of stress on the system is reflected by the change in...

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and...

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...