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Measuring systemic liquidity risk in the Russian banking system
| Content Provider | Semantic Scholar |
|---|---|
| Copyright Year | 2012 |
| Abstract | The crisis of 2007-2009 has emphasized the importance of systemic risk measurement and regulation. The aim of this paper is to propose an approach to estimating systemic liquidity risk in a banking system and to detecting systemically important banks. The analysis is based on a surplus of highly liquid assets above due payments. Systemic liquidity risk can be expressed as the distance from the current level of the aggregate liquidity surplus to its critical value. The calculations are carried out using simulated empirical distribution of the aggregate liquidity surplus received by employing Independent Component Analysis. Systemic importance of banks is assessed according to their contribution to the variation of the system ́s liquidity surplus, for which the covariance principle is employed. The methodology is applied to the Russian banking system. Results reveal the current level of systemic liquidity risk in the system and present the ranking of banks based on their systemic relevance. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://economics.hse.ru/data/2012/03/23/1264676653/Irina_Andrievskaya_article_5Mar2012-2.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
