Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45638 
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dc.contributor.authorDüllmann, Klausen
dc.contributor.authorPuzanova, Nataliaen
dc.date.accessioned2011-05-24-
dc.date.accessioned2011-05-25T08:42:01Z-
dc.date.available2011-05-25T08:42:01Z-
dc.date.issued2011-
dc.identifier.isbn978-3-86558-713-8en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2011,08en
dc.subject.jelC15en
dc.subject.jelC63en
dc.subject.jelE58en
dc.subject.jelG01en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordsystemic risk contributionsen
dc.subject.keywordsystemic capital chargeen
dc.subject.keywordexpected shortfallen
dc.subject.keywordimportance samplingen
dc.subject.keywordgranularity adjustmenten
dc.titleSystemic risk contributions: a credit portfolio approach-
dc.typeWorking Paperen
dc.identifier.ppn659509679en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:201108en

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