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Assessment of Systemic Risk in the Polish Banking Industry

In: Contemporary Trends and Challenges in Finance

Author

Listed:
  • Katarzyna Kuziak

    (Wroclaw University of Economics)

  • Krzysztof Piontek

    (Wroclaw University of Economics)

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).

Suggested Citation

  • Katarzyna Kuziak & Krzysztof Piontek, 2018. "Assessment of Systemic Risk in the Polish Banking Industry," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski (ed.), Contemporary Trends and Challenges in Finance, pages 145-158, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-76228-9_14
    DOI: 10.1007/978-3-319-76228-9_14
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    Cited by:

    1. Jędrzejczak-Gas Janina & Barska Anetta & Siničáková Marianna, 2019. "Level of development of e-commerce in EU countries," Management, Sciendo, vol. 23(1), pages 209-224, June.

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