지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2013.1
- 수록면
- 75 - 100 (26page)
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초록· 키워드
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This paper proposes a simple method that employs credit default swap (CDS) data for analyzing systemic risk. The proposed method overcomes inconsistency problems in existing methods and can produce various indicators of systemic risk in a consistent manner. In addition, this method can measure systemic risk contributions. In particular, the method measures systemic risk contributions in both directions, that is, the overall effect of systemic risk on individual credit risks and vice versa. Using CDS data, we employ the proposed method to measure systemic risk for a group of large financial institutions in the U.S. In addition, we provide empirical results for systemic risk contributions as well as various measures of the overall level of systemic risk and verify the applicability of the proposed method.
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참고문헌 (31)
참고문헌 신청
Acharya, V. V. / 2009 / A Theory of Systemic Risk and Design of Prudential Bank Regulation / Journal of Financial Stability 5 : 224 ~ 255
Acharya, V.V. / 2010 / Measuring Systemic Risk / AFA 2011 Denver Meeting Paper
Adrian, T. / 2010 / CoVaR
Avesani, L. / 2006 / A New Risk Indicator and Stress Testing Tool: A Multifactor nth-to-default CDS Basket
BCBS / 2009 / Comprehensive Responses to the Global Banking Crisis / The Basel Committee on Banking Supervision
Acharya, V.V. / 2010 / Measuring Systemic Risk / AFA 2011 Denver Meeting Paper
Adrian, T. / 2010 / CoVaR
Avesani, L. / 2006 / A New Risk Indicator and Stress Testing Tool: A Multifactor nth-to-default CDS Basket
BCBS / 2009 / Comprehensive Responses to the Global Banking Crisis / The Basel Committee on Banking Supervision
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