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- Title
A SIMPLE METHOD FOR MEASURING SYSTEMIC RISK USING CREDIT DEFAULT SWAP MARKET DATA.
- Authors
SANGWON SUH; JANG, INWON; MlSUN AHN
- Abstract
This paper proposes a simple method that employs credit default swap (CDS) data for analyzing systemic risk. The proposed method overcomes inconsistency problems in existing methods and can produce various indicators of systemic risk in a consistent manner. In addition, this method can measure systemic risk contributions. In particular, the method measures systemic risk contributions in both directions, that is, the overall effect of systemic risk on individual credit risks and vice versa. Using CDS data, we employ the proposed method to measure systemic risk for a group of large financial institutions in the U.S. In addition, we provide empirical results for systemic risk contributions as well as various measures of the overall level of systemic risk and verify the applicability of the proposed method.
- Subjects
UNITED States; CREDIT default swaps; SYSTEMIC risk (Finance); FINANCIAL markets; INCONSISTENCY (Logic); RISK management of financial institutions; FINANCIAL institutions; MATHEMATICAL models
- Publication
Journal of Economic Development, 2013, Vol 38, Issue 4, p75
- ISSN
0254-8372
- Publication type
Article
- DOI
10.35866/caujed.2013.38.4.003