Assessment of Systemic Risk in the Polish Banking Industry

Katarzyna Kuziak , Krzysztof Piontek

Abstract

In this paper systemic risk is meant in a very narrow sense as a risk of breakdown or major dysfunction in the banking system. Some researches use the term to include the potential insolvency of a major player in or a component of the financial. In the paper, financial indicators and the approach of Conditional Value-at-Risk (CoVaR) proposed by Adrian and Brunnermeier is used to assess systemic risk. The goal is to verify the results obtained for delta CoVaR for banks by aggregate measure of their financial condition. In the paper two methods of CoVaR estimation were applied: GARCH and quantile regression. As a measure of financial condition, the composite indicator (development measure proposed by Hellwig, containing selected financial ratios, was calculated. Empirical analysis for Polish banking industry indicates a weak or insignificant relationship between values of systemic risk measure (delta CoVaR) and the values of financial condition measure (composite indicator)
Author Katarzyna Kuziak (MISaF / IZF / KIFiZR)
Katarzyna Kuziak,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem
, Krzysztof Piontek (MISaF / IZF / KIFiZR)
Krzysztof Piontek,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem
Pages145-158
Publication size in sheets0.65
Book Jajuga Krzysztof, Locarek-Junge Hermann, Orlowski Lucjan T. (eds.): Contemporary Trends and Challenges in Finance Proceedings from the 3rd Wroclaw International Conference in Finance , Springer Proceedings in Business and Economics, 2018, Springer, ISBN 978-3-319-76227-2, [978-3-319-76228-9], 251 p., DOI:10.1007/978-3-319-76228-9
DOIDOI:10.1007/978-3-319-76228-9_14
URL https://link.springer.com/content/pdf/10.1007%2F978-3-319-76228-9_14.pdf
Languageen angielski
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Score (nominal)20
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