Structural systemic risk: evolution and main drivers

dc.contributor.authorAzevedo, Nuno
dc.contributor.authorOliveira, Vitor
dc.date.accessioned2022-05-16T15:06:06Z
dc.date.available2022-05-16T15:06:06Z
dc.date.issued2020-12-21
dc.description.abstractThis paper analyzes how systemic risk structurally evolved between 2007 and 2017. The main contributions of the paper to the literature include the methodology, analysis and potential use for macroprudential policies. The methodology, known as network analysis, comprises direct (credit and liquidity risk) and indirect (concentration risk) contagion channels as well as other specificities that improve the methodologies exploited so far in the literature. Using a consolidated sample, which varies between 14 and 17 banks over the period 2007–17, we show that the structural systemic risk of the Portuguese banking system reduced between 2007 and 2017. Further, in line with most of the literature, this paper highlights that direct contagion is not significant compared with contagion that stems from banks’ common exposures to asset classes. Finally, this paper supports the role played by capital in mitigating structural systemic risk, and the model behind the analysis can be used to perform stress tests with a macroprudential dimension as well as to calibrate structural capital buffers such as the other systemically important institutions and systemic risk buffers. (Copyright Infopro Digital Limited. All rights reserved.)pt_PT
dc.identifier.citationAzevedo, N., & Oliveira, V. (2020). Structural systemic risk: evolution and main drivers. Journal of Network Theory in Finance, 5(4), december 2019, 1-28. 10.21314/JNTF.2019.059. Repositório Institucional UPT. http://hdl.handle.net/11328/4109pt_PT
dc.identifier.doi10.21314/JNTF.2019.059pt_PT
dc.identifier.issn2055-7795 (Print)
dc.identifier.issn2055-7809 (Electronic)
dc.identifier.urihttp://hdl.handle.net/11328/4109
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherInfopro Digitalpt_PT
dc.rightsrestricted accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectBanking systemspt_PT
dc.subjectContagionpt_PT
dc.subjectSystemic riskpt_PT
dc.subjectFinancial stabilitypt_PT
dc.subjectNetwork analysispt_PT
dc.titleStructural systemic risk: evolution and main driverspt_PT
dc.typejournal articlept_PT
degois.publication.firstPage1pt_PT
degois.publication.issue4pt_PT
degois.publication.lastPage28pt_PT
degois.publication.titleJournal of Network Theory in Financept_PT
degois.publication.volume5pt_PT
dspace.entity.typePublicationen
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