Loading...
Please wait, while we are loading the content...
Similar Documents
CoVaR como medida de contribuição ao risco sistêmico, aplicado às instituições do sistema financeiro brasileiro
| Content Provider | Semantic Scholar |
|---|---|
| Author | Tristão, Diego Santana |
| Copyright Year | 2013 |
| Abstract | The main goal this of this paper is estimate the systemic risk contribution of the banks in the Brazilian financial markets, using the CoVaR methodology proposal in Adrian and Brunnermeier (2011). This application is relevant from the point of view of the effective regulation, and the examination of the patterns of the national financial market risk. Among the obtained results, stand out are three distinctive points: (a) there is a huge difference in levels of risk between poor and high stability environments; (b) the relationship between size and risk generated by financial institutions is not linear; and (c) as seen in previous works applied in others countries, the Value at Risk does not always follow the bank risk contribution to systemic risk, jeopardizing the metrics of the effective regulation. Palavras-chave: CoVaR, risco sistêmico, value at risk, regulação bancária. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.ufrgs.br/ppge/wp-content/themes/PPGE/page/textos-para-discussao/pcientifica/2013_16.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
