Systemic risk contributions: a credit portfolio approach

Research, Preprint English OPEN
Düllmann, Klaus; Puzanova, Natalia;
  • Publisher: Frankfurt a. M.: Deutsche Bundesbank
  • Subject: systemic capital charge | C63 | systemic risk contributions,systemic capital charge,expected shortfall,importance sampling,granularity adjustment | C15 | G21 | E58 | G01 | importance sampling | systemic risk contributions | expected shortfall | granularity adjustment
    • jel: jel:E58 | jel:G01 | jel:C15 | jel:G21 | jel:C63
      ddc: ddc:330

We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. ... View more
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