Measures of systemic risk and financial fragility in Korea

被引：20

作者：

Lee, Jong Han ^{[1
]}

Ryu, Jaemin ^{[1
]}

Tsomocos, Dimitrios P. ^{[2
]}

机构：

[1] Bank Korea, Marcroprudential Anal Dept, Seoul 100794, South Korea

[2] Univ Oxford, Said Business Sch, Pk End St, Oxford OX1 1HP, England

来源：

ANNALS OF FINANCE | 2013年 / 9卷 / 04期

关键词：

Financial stability; Systemic risk; JPoD; CoVaR; MES; Shapley value;

D O I：

10.1007/s10436-012-0218-x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides a quantitative metric for financial stability of Korean commercial banking system based on the Tsomocos (J Math Econ 39(5-6): 619-655, 2003) model, for which we use market data as proxies for probabilities of default and equity valuation of the banking sector. We estimate the effect of the probability of default and the equity valuation of the banking sector on real output using a vector error correction model (VECM). In addition, we estimate the contributions of individual banks to systemic risk usingCoVaR andMES(Marginal Expected Shortfall). CoVaR is estimated based on the methodology of Adrian and Brunnermeier (2010), and MES is estimated based on Shapley valuemethodology which has been introduced byTarashev et al. (2010).

引用

页码：757 / 786

页数：30

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