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http://hdl.handle.net/10419/45638
  

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dc.contributor.authorDüllmann, Klausen_US
dc.contributor.authorPuzanova, Nataliaen_US
dc.date.accessioned2011-05-24en_US
dc.date.accessioned2011-05-25T08:42:01Z-
dc.date.available2011-05-25T08:42:01Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-713-8en_US
dc.identifier.urihttp://hdl.handle.net/10419/45638-
dc.description.abstractWe put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk in terms of the portfolio expected shortfall (ES). Banks' (marginal) risk contributions are calculated based on partial derivatives of the ES in order to ensure a full risk allocation among institutions. We compare the performance of an importance sampling algorithm with a fast analytical approximation of the ES and the marginal risk contributions. Furthermore, we show empirically for a portfolio of large international banks how our approach could be implemented to compute bank-specific capital surcharges for systemic risk or stabilisation fees. We find that size alone is not a reliable proxy for the systemic importance of a bank in this framework. In order to smooth cyclical fluctuations of the risk measure, we explore a time-varying confidence level of the ES.en_US
dc.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and Financial Studies 2011,08en_US
dc.subject.jelC15en_US
dc.subject.jelC63en_US
dc.subject.jelE58en_US
dc.subject.jelG01en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordsystemic risk contributionsen_US
dc.subject.keywordsystemic capital chargeen_US
dc.subject.keywordexpected shortfallen_US
dc.subject.keywordimportance samplingen_US
dc.subject.keywordgranularity adjustmenten_US
dc.titleSystemic risk contributions: a credit portfolio approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn659509679en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp2:201108-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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