ISSN: 1648 - 4460

International Journal of Scholarly Papers

VU KHF

Transformations  in
Business & Economics

Transformations in
Business & Economics

  • © Vilnius University, 2002-2016
  • © Brno University of Technology, 2002-2016
  • © University of Latvia, 2002-2016
Article
ASSESSING SYSTEMIC RISK WITH BETA APPROACH
Katarzyna Kuziak

ABSTRACT. In this paper systemic risk will be regarded as a risk of breakdown or major dysfunction of single financial institution which spreads to the other institutions on financial market. There are many approaches proposed to measuring systemic risk in literature, but in this paper indicates four approaches (Hansen, 2013). The first approach measures codependence in the tails of distributions of equity rates of return for financial institutions. The second is known as the Contingent Claims Analysis (Gray, Jobst, 2011). The next one includes network models of the financial system (focus on the link among financial institutions). The last one deals with Dynamic Stochastic Equilibrium Models (e.g. Christiano et al., 2005; Smets, Wouters, 2007). This article considers the approach called Dynamic Conditional Beta or DCB proposed by Engle (2012). It is a relatively new approach to estimating time series regressions with time varying regression coefficients. DCB is applied to systemic risk estimation with non-synchronous prices. Empirical evidence for Polish financial system will be given  .

KEYWORDS: dynamic conditional beta, systemic risk, Polish financial system, .

JEL classification: C10, C50, E58, G20.

Editorial correspondence:

Scholarly papers Transformations in Business & Economics
Kaunas Faculty
Vilnius University
Muitinės g. 8
Kaunas, LT-44280
Lithuania

Sitemap

Visits:

Valid XHTML 1.0 Strict