Systemic risk in the banking system: Measuring and interpreting the results

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dc.contributor.authorBezrodna, Olena
dc.contributor.authorIvanova, Zoia
dc.contributor.authorOnyshchenko, Yulia
dc.contributor.authorLypchanskyi, Volodymyr
dc.contributor.authorRymar, Serhii
dc.date.accessioned2020-08-19T22:07:03Z
dc.date.available2020-08-19T22:07:03Z
dc.date.issued2019
dc.description.abstractHighly concentrated banking system risks and the cumulative effect due to their accumulation act as a driver for improving the macro-prudential policy implemented by central banks. For this reason, an effectively and comprehensively assessed systemic risk in the banking system is declared an express condition for the early detection of its production sources and blocking of potential spreading channels, reducing the possible implementation. In light of this, the article develops an approach to the aggregated systemic risk assess- ment and interpretation of its results. The proposed approach is based on the considered influence exerted by financial risks of systemically important banks on the destabilized banking system and interconnections between banks in the context of the possible crisis impulse spreading. The following steps should be accomplished to form an aggregated systemic risk indicator in the banking system. Firstly, the differentiation of systemically important banks by the degree of their systemic importance; secondly, an integral assessment of the bank operation riskiness within certain bank groups; thirdly, the cumulative composition of the corresponding integral indicators, taking into account their weighting coefficients based on two criteria, namely values of the systemic importance indicator differentiating the bank groups, and the correlation of their risks. Interpreting the quantitative measurement results with regard to the systemic risk in the banking system is followed by the recommendations below: the systemic risk grading into high, medium and low levels and the respective definition of the threshold aggregated systemic risk indicator value which informs about the possible systemic crisis when approached; justification of the selected supervision regime types (strengthened, moderate or weakened) for systemically important banks, depending on the riskiness level specific for their operation and the systemic importance degree. The developed approach to measuring the systemic risk by means of constructing an aggregated indicator and interpreting the obtained results was being tested considering the financial risk indicators of the systemically important banks in Ukraine during 2009–2018.en_US
dc.identifier.citationSystemic risk in the banking system: Measuring and interpreting the results [electronic resource] / Bezrodna O., Ivanova Z., Onyshchenko Y., Lypchanskyi V., Rymar S. // Banks and Bank Systems. - 2019. - Vol. 14, Issue 3. - P. 34-47.en_US
dc.identifier.urihttps://doi.org/10.21511/bbs.14(3).2019.04
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/17824
dc.language.isoenuk_UA
dc.relation.sourceBanks and Bank Systems.en_US
dc.statusfirst publisheduk_UA
dc.subjectsystemic risken_US
dc.subjectbanking systemen_US
dc.subjectsystemically important banks (SIBs)en_US
dc.subjectfinancial risksen_US
dc.subjectmacro-prudential policyen_US
dc.subjectarticleen_US
dc.titleSystemic risk in the banking system: Measuring and interpreting the resultsen_US
dc.typeArticleuk_UA
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