Читать книгу Quantitative Financial Risk Management - Galariotis Emilios - Страница 12

Systemic financial risk is an important issue in view of the distress the banking systems all over the world have experienced in the recent years of crises. Even if breakdowns are prevented by the government, the related societal costs are extremely high.

We described the measurement of systemic risk, based on the structural approach originating from structural credit risk models. In particular, the cascading effects that are caused by mutual debt between the individual banks in the system were analyzed in detail. Furthermore, we related the notion of systemic risk to the copula structure, modeling dependency between the performances of the individual banks. The effects of different levels of dependency on the total systemic risk in terms of the value at risk of total losses were demonstrated by examples.