Systemic risk has been one of the most interesting issues in banking and financial literature during the last years, particularly in evaluating its effects on the stability of the whole financial system during crises. Differently from other studies which analyze systemic risk focusing on European countries, we explore the determinant of systemic risk in other regional or continental banking systems, as Latin America. Using the CoVaR approach proposed by Adrian and Brunnermeier (2016), we study the impact of corporate variables on systemic risk on a sample of 30 Latin American banks belonging to seven countries, continuously listed from 2002Q1 to 2015Q4. We investigate the contribution of the corporate variables over different economic periods: the Subprime crisis (2007Q3–2008Q3), the European Great Financial Depression (2008Q4–2010Q2), and the Sovereign debt crisis (2010Q3–2012Q3).

(2019). Explaining Systemic Risk in Latin American Banking Industry over 2002-2015 . Retrieved from http://hdl.handle.net/10446/229498

Explaining Systemic Risk in Latin American Banking Industry over 2002-2015

Pellegrini, Laura;
2019

Abstract

Systemic risk has been one of the most interesting issues in banking and financial literature during the last years, particularly in evaluating its effects on the stability of the whole financial system during crises. Differently from other studies which analyze systemic risk focusing on European countries, we explore the determinant of systemic risk in other regional or continental banking systems, as Latin America. Using the CoVaR approach proposed by Adrian and Brunnermeier (2016), we study the impact of corporate variables on systemic risk on a sample of 30 Latin American banks belonging to seven countries, continuously listed from 2002Q1 to 2015Q4. We investigate the contribution of the corporate variables over different economic periods: the Subprime crisis (2007Q3–2008Q3), the European Great Financial Depression (2008Q4–2010Q2), and the Sovereign debt crisis (2010Q3–2012Q3).
Bellavite Pellegrini, Carlo; Pellegrini, Laura; Sironi, Emiliano
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/229498
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