A SIMPLE METHOD FOR MEASURING SYSTEMIC RISK USING CREDIT DEFAULT SWAP MARKET DATAA SIMPLE METHOD FOR MEASURING SYSTEMIC RISK USING CREDIT DEFAULT SWAP MARKET DATA
- Authors
- 서상원; 장인원; 안미선
- Issue Date
- 2013
- Publisher
- 중앙대학교 경제연구소
- Keywords
- Systemic Risk; Financial Stability; Systemic Risk Contribution; Credit Default Swap
- Citation
- Journal of Economic Development, v.38, no.4, pp 75 - 100
- Pages
- 26
- Journal Title
- Journal of Economic Development
- Volume
- 38
- Number
- 4
- Start Page
- 75
- End Page
- 100
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/19099
- DOI
- 10.35866/caujed.2013.38.4.003
- ISSN
- 0254-8372
- 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.
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Collections - College of Business & Economics > School of Economics > 1. Journal Articles
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