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Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network

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  • Rivera-Castro, Miguel A.
  • Ugolini, Andrea
  • Arismendi Zambrano, Juan

Abstract

In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Itaú are the origin of the larger systemic shocks from the banking system to the financial system network, the real economy, and the region. The results have implications for the capital regulation of financial institutions and for risk managers' decisions.

Suggested Citation

  • Rivera-Castro, Miguel A. & Ugolini, Andrea & Arismendi Zambrano, Juan, 2018. "Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network," Emerging Markets Review, Elsevier, vol. 35(C), pages 164-189.
    • Handle: RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189
    DOI: 10.1016/j.ememar.2018.02.004
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    More about this item

    Keywords

    Systemic risk; Brazilian banking system; Banking network; Financial contagion; Financial crisis;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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