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• W2476165938 abstract "The recent financial crisis has shown that the regulation framework that has been implemented over the last 20 years as formulated in the Basle I and II agreements relied excessively on the monitoring of individual financial institutions. It then failed to capture the contribution of systemic risk, which is considered to be the risk that results from the collective behavior of financial institutions that have significant effects on the real economy. In this chapter, we investigate the extent to which distress within different sub-segments of the financial system, namely, the banking, insurance and other financial services industries contribute to systemic risk. We conduct our analysis using the measure of systemic risk recently developed by Adrian and Brunnermeier (2011) . We employ weekly data for the period December 1995–February 2013 for selected countries from three regions of emerging economies, namely, Latin America, Southeast Asia, and Central and Eastern Europe. Our main results provide evidence that in most of the emerging markets under investigation, the banking industry contributes relatively more to systemic risk in periods of distress than does the insurance industry or the other financial services industry. Furthermore, when we examine the estimated ΔCoVaR Δ CoVaR measures we observe that for all industries the contribution to systemic risks has increased since 2008." @default.
• W2476165938 created "2016-08-23" @default.
• W2476165938 creator A5015640540 @default.
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• W2476165938 date "2014-01-01" @default.
• W2476165938 modified "2023-10-17" @default.
• W2476165938 title "Measuring Systemic Risk in Emerging Markets Using CoVaR" @default.
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• W2476165938 doi "https://doi.org/10.1016/b978-0-12-411549-1.00012-0" @default.
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