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2013•RePEc: Research Papers in EconomicsRequires access

Assessing Systemic Risk in the Brazilian Interbank Market

Benjamin Miranda Tabak, Sergio Rubens Stancato de Souza, Solange Maria Guerra

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Abstract

In this paper, we propose a methodology to measure systemic risk that stems from financial institutions (FIs) interconnected in interbank markets. We show that this framework is useful to identify systemically important FIs. This methodology can be used to perform stress tests using additional information from FIs default probabilities and their correlation structure. We present how to implement this methodology and apply it to the Brazilian case. We also evaluate the effects of the recent global crisis on the interbank market.

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What this paper is about

In this paper, we propose a methodology to measure systemic risk that stems from financial institutions (FIs) interconnected in interbank markets. We show that this framework is useful to identify systemically important FIs. This methodology can be used to perform stress tests using additional information from FIs default probabilities and their correlation structure. We present how to implement this methodology and apply it to the Brazilian case. We also evaluate the effects of the recent global crisis on the interbank market.

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OpenAlex reports 15 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In this paper, we propose a methodology to measure systemic risk that stems from financial institutions (FIs) interconnected in interbank markets. We show that this framework is useful to identify systemically important FIs. This methodology can be used to perform stress tests using additional information from FIs default probabilities and their correlation structure. We present how to implement this methodology and apply it to the Brazilian case. We also evaluate the effects of the recent global crisis on the interbank market.

Key concepts: Systemic risk, Interbank lending market, Business, Financial crisis, Financial market, Financial system, Actuarial science, Economics

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