Peer-Reviewed Journal Details
Mandatory Fields
Rivera-Castro M.;Ugolini A.;Arismendi Zambrano J.
2018
June
Emerging Markets Review
Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network
Published
4 ()
Optional Fields
Banking network Brazilian banking system Financial contagion Financial crisis Systemic risk
35
164
189
© 2018 Elsevier B.V. In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Itaú are the origin of the larger systemic shocks from the banking system to the financial system network, the real economy, and the region. The results have implications for the capital regulation of financial institutions and for risk managers’ decisions.
1566-0141
10.1016/j.ememar.2018.02.004
Grant Details