Systemic Risk Measures and Optimal Capital Requirement

Author
Wesley Augusto de Freitas Borges
Abstract
In this study we estimate different measures to understand how much systemic risk each bank brings to the Brazilian market and propose a bank run model that accounts for idiosyncratic probability of default of banks and a systemic risk process in which additional defaults occur through different channels of contagion. Through our approach, we estimate the loss distribution, the probability of default of the deposit insurance agency, and simulate the optimal capital adequacy ratio of the Brazilian banking system.
Keywords
Systemic risk, Deposit Insurance, Bank Runs, Financial Institutions
Subject Area
Corporate Finance, Intermediation, and Banking

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Reference

BORGES, Wesley Augusto de Freitas. Systemic Risk Measures and Optimal Capital Requirement. In: XXIII Encontro Brasileiro de Finanças - Universidade Presbiteriana Mackenzie (São Paulo - SP), 2023. Available in: <https://doity.com.br/anais/23ebfin/trabalho/279459>. Available in: 22/04/2025 at 01:21

Asset pricing, investments, and Derivatives
Corporate Finance, Intermediation, and Banking
Econometrics and Numerical Methods

Comissão Organizadora

Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva