Abstract

http://ssrn.com/abstract=1650436
 
 

References (116)



 
 

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Systemic Risk Contributions


Xin Huang


University of Oklahoma

Hao Zhou


PBC School of Finance, Tsinghua University

Haibin Zhu


Bank for International Settlements (BIS)

May 17, 2011


Abstract:     
We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks’ marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP expected loss measure. In general, we find that a bank’s contribution to the systemic risk is roughly linear in its default probability but highly nonlinear with respect to institution size and asset correlation.

Number of Pages in PDF File: 44

Keywords: Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.

JEL Classification: G21, G28, G14

working papers series


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Date posted: July 29, 2010 ; Last revised: October 29, 2011

Suggested Citation

Huang, Xin and Zhou, Hao and Zhu, Haibin, Systemic Risk Contributions (May 17, 2011). Available at SSRN: http://ssrn.com/abstract=1650436 or http://dx.doi.org/10.2139/ssrn.1650436

Contact Information

Xin Huang
University of Oklahoma ( email )
Norman, OK 73019
United States
Hao Zhou (Contact Author)
PBC School of Finance, Tsinghua University ( email )
43 Chengfu Road, Haidian District
Beijing, 100083
China
+86-10-62790655 (Phone)
HOME PAGE: http://www.pbcsf.tsinghua.edu.cn
Haibin Zhu
Bank for International Settlements (BIS) ( email )
Hong Kong
Hong Kong
852 2878 7145 (Phone)
852 2878 7123 (Fax)
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