Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/270166 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 9 [Issue:] 1 [Article No.:] 1986930 [Year:] 2021 [Pages:] 1-19
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
Risk of basic defaults and contagious defaults are two main sources of bank systemic risk. In this paper, a theoretical framework is proposed to classify the time evolution of the basic defaults and contagious defaults using sequences of daily financial data. The new theoretical framework combines an existing asset value estimation algorithm and obligation clearing algorithm to calculate the time evolution of systemic risk. The asset value estimation algorithm is used to estimate the asset values of the banks each day and the obligation clearing algorithm is used to calculate systemic risk given the tuples of data each day. This framework is applied to assess the systemic risk of the Nigerian banking system between 2008 and 2014 when the economy was hit by the financial meltdown. The main findings depict that the risk of the basic defaults was high during this period while contagious default seldom appeared. It is also found that the Nigerian banking system was more stable in 2010 and 2012 than in other years, while it was seriously unstable in 2008, 2011, and 2014. The findings would assist in monitoring systemic risk in the Nigerian banking system.
Schlagwörter: 
Bank defaults ·Financial Stability
Interbank market
Network analysis
Systemic risk
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.