scholarly journals Systemic Risk Rankings and Network Centrality in the European Banking Sector

2015 ◽  
Author(s):  
Valerie De Bruyckere
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
Network Centrality ◽  
European Banking

scholarly journals The Assessment of Systemic Risk in the Kenyan Banking Sector

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-15 ◽  
Author(s):  
Hong Fan ◽  
Allan Alvin Lee Lukaya Amalia ◽  
Qian Qian Gao
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Financial Data ◽  
Annual Reports ◽  
Centrality Measures ◽  
Network Centrality ◽  
Regulatory Body ◽  
Stress Tests

The present paper aims to assess the systemic risk of the Kenyan banking system. We propose a theoretical framework to reveal the time evolution of the systemic risk using sequences of financial data and use the framework to assess the systemic risk of the Kenyan banking system that is regarded as the largest in the East and Central African region. Firstly, we estimate the bilateral exposures matrix using aggregate financial data on loans and deposits from annual reports and analyze the interconnectedness in the market using network centrality measures. Next, we extend the Eisenberg–Noe method to a multiperiod setting to the systemic risk of the Kenyan banking system, in which the multiperiod includes the dynamic evolutions of the Kenyan banking system of every bank and the structure of the interbank network system. We apply this framework to assess dynamically the systemic risk of the Kenyan banking system between 2009 and 2015. The main findings are the following. The theoretical network analysis using network centrality measures showed several banks displaying characteristics of systematically important banks (SIBs). The theoretical default analysis showed that a bank suffering a basic default will trigger a contagious default that caused several other banks in the sector to go bankrupt. Further stress test proved that the KCB bank theoretically caused a few contagious defaults due to an unusually high interconnectedness. This methodology can contribute by being part of monitoring system of the Central Bank of Kenya (regulatory body) as well as the implementation of policies (such as bank-internal stress tests) that assist in preventing default contagion.

Systemic Risk in the European Banking Sector

2012 ◽  
Author(s):  
Nicola Borri ◽  
Marianna Caccavaio ◽  
Giorgio Di Giorgio ◽  
Alberto Maria Sorrentino
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
European Banking

scholarly journals Measuring systemic risk in the European banking sector: a copula CoVaR approach

2017 ◽  
Vol 24 (11) ◽  
pp. 944-975 ◽  
Author(s):  
Emmanouil N. Karimalis ◽  
Nikos K. Nomikos
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
European Banking

scholarly journals What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure

2014 ◽  
Vol 14 (2) ◽  
pp. 114-124 ◽  
Author(s):  
Renata Karkowska
Keyword(s):  
Financial Institutions ◽  
Systemic Risk ◽  
Value At Risk ◽  
Banking Sector ◽  
Significant Risk ◽  
Conditional Value At Risk ◽  
The Public ◽  
Public Market ◽  
Systemic Risks ◽  
European Banking

Abstract We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank’s capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.

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