A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector

North American Journal of Economics and Finance

Volumn 32, Issue , 2015, Pages 98-123

  Reboredo, Juan C ^a   Ugolini, Andrea ^a  

^a UNIVERSITY OF SANTIAGO DE COMPOSTELA   (Spain)

Author keywords

Conditional value at risk; Financial sector risk; Sovereign debt crisis; Sovereign systemic risk; Vine copulas

Indexed keywords

EID: 84923870073     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2015.02.002     Document Type: Article

References (59)

1. Aas K., Berg D. Models for construction of multivariate dependence: A comparison study. European Journal of Finance 2009, 15:639-659.
2. Aas K., Czado C., Frigessi A., Bakken H. Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 2009, 44:182-198.
3. Abadie A. Bootstrap tests for distributional treatment effects in instrumental variables models. Journal of American Statistical Association 2002, 97(457):284-292.
4. Acharya V., Pedersen L., Philippon T., Richardson M. Measuring systemic risk 2010, FRB of Cleveland Working Paper No. 10-02.
5. Adrian T., Brunnermeier M.K. CoVaR 2011, NBER working paper series, w17454.
6. Allen F., Babus A., Carletti E. Financial connections and systemic risk 2010, NBER Working Paper No. 16177.
7. Alter A., Beyer A. The dynamics of spillover effects during the European sovereign debt turmoil 2012, CFS Working Paper 13.
8. Alter A., Schuler Y. Credit spread interdependencies of European states and banks during the financial crisis. Journal of Banking and Finance 2012, 36(12):3444-3468.
9. Arezki R., Candelon B., Sy A. Sovereign rating news and financial markets spillovers: Evidence from European debt crisis 2011, IMF Staff Papers Working Paper 11/68.
10. Battistini N., Pagano M., Simonelli S. Systemic risk, sovereign yields and bank exposures in the euro crisis. Economic Policy 2014, 203-251.
11. Bedford T., Cooke R.M. Vines - a new graphical model for dependent random variables. Annals of Statistics 2002, 30:1031-1068.
12. Bernal O., Gnabo J.-Y., Guilmin G. Assessing the contribution of banks, insurance and other financial services to systemic risk. Journal of Banking and Finance 2014, 10.1016/j.jbankfin.2014.05.030.
13. Bhanot K., Burns N., Hunter D., Williams M. News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector. Journal of Banking & Finance 2014, 38:51-63.
14. Billio M., Getmansky M., Lo A.W., Pelizzon L. Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of Financial Economics 2012, 104:535-559.
15. BIS The impact of sovereign credit risk on bank funding conditions 2011, Committee on the global financial system papers, 43.
16. Bisias D., Flood M.D., Lo A.W., Valavanis S. A survey of systemic risk analytics 2012, U.S. Department of Treasury, Office of Financial Research No. 0001.
17. Blundell-Wignall A., Slovik P. The EU stress test and sovereign debt exposures 2010, OECD Working Papers on Finance, Insurance and Private Pensions, No. 4, OECD Financial Affairs Division. http://www.oecd.org/daf/fin/.
18. Breymann W., Dias A., Embrechts P. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 2003, 3:1-16.
19. Brunnermeier M., Garicano L., Lane P.R., Pagano M., Reis R., Santos T., et al. European safe bonds: ESBies 2011, http://euro-nomics.com/.
20. Caporin M., Pelizzon L., Ravazzolo F., Rigobon R. Measuring sovereign contagion in Europe 2013, NBER Working Paper 18741.
21. Cherubini U., Luciano E., Vecchiato W. Copula methods in finance 2004, John Willey & Sons, Chichester, UK.
22. Chollete L., Heinen A., Valdesogo A. Modeling international financial returns with a multivariate regime-switching copula. Journal of Financial Econometrics 2009, 7:437-480.
23. De Bruyckere V., Gerhardt M., Schepens G., Vennet R.V. Bank/sovereign risk spillovers in the European debt crisis. Journal of Banking & Finance 2013, 37:4793-4809.
24. De Jonghe O. Back to the basics in banking? A micro-analysis of banking system stability. Journal of Financial Intermediation 2010, 19:387-417.
25. Girardi G., Ergün A.T. Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking and Finance 2013, 37:3169-3180.
26. Glosten L.R., Jaganathan R., Runkle D. On the relation between the expected value and the volatility of the normal excess return on stocks. Journal of Finance 1993, 48:1779-1801.
27. Gómez-Puig M., Sosvilla-Rivero S., Ramos-Herrera M.C. An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis. The North American Journal of Economics and Finance 2014, 30:133-153.
28. Gray D.F.F., Jobst A.A. New directions in financial sector and sovereign risk management. Journal of Investment Management 2010, 8:23-38.
29. Halaj G., Kok Sorensen C. Assessing interbank contagion using simulated networks. Computational Management Science 2013, 10:157-186.
30. Hansen B. Autoregressive conditional density estimation. International Economic Review 1994, 35:705-730.
31. Hobæk Haff I. Parameter estimation for pair-copula constructions. Bernoulli 2013, 19(2):462-491.
32. Huang X., Zhou H., Zhu H. A framework for assessing the systemic risk of major financial institutions. Journal of Banking & Finance 2009, 33:2036-2049.
33. Huang X., Zhou H., Zhu H. Systemic risk contributions. Journal of Financial Services Research 2012, 42:55-83.
34. Jin X., Nadal De Simone F.A. Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach. Journal of Financial Stability 2014, 10.1016/j.jfs.2013.12.004.
35. Joe H. Multivariate models and dependence concepts. Monographs in Statistics and Probability 73 1997, Chapman and Hall, London.
36. Joe H., Xu J.J. The estimation method of inference functions for margins for multivariate models 1996, Technical Report No. 166, Department of Statistics, University of British Columbia.
37. Kritzman M., Li Y., Page S., Rigobon R. Principal components as a measure of systemic risk. The Journal of Portfolio Management 2011, 37:112-126.
38. Lehar A. Measuring systemic risk: A risk management approach. Journal of Banking & Finance 2005, 29:2577-2603.
39. Low R.K.W., Alcock J., Faff R., Brailsford T. Canonical vine copulas in the context of modern portfolio management: Are they worth it?. Journal of Banking & Finance 2013, 37:3085-3099.
40. Mainik G., Schaanning E. On Dependence Consistency of CoVaR and some other Systemic Risk Measures 2012, Working paper, ETH, Zürich.
41. Mink M., De Haan J. Contagion during the Greek sovereign debt crisis. Journal of International Money and Finance 2013, 34:102-113.
42. Missio S., Watzka S. Financial Contagion and the European Debt Crisis 2011, CES Working Papers.
43. Nelsen R.B. An introduction to copulas 2006, Springer-Verlag, New York.
44. Patton A.J. Modelling asymmetric exchange rate dependence. International Economic Review 2006, 47(2):527-556.
45. Radev D. Systemic risk and sovereign debt in the euro area 2012, Gutenberg School of Management and Economics Discussion Paper No. 1207. http://ssrn.com/abstract=2048585, 10.2139/ssrn.2048585.
46. Reboredo J.C. How do crude oil prices co-move? A copula approach. Energy Economics 2011, 33:948-955.
47. Reboredo J.C. Modelling oil price and exchange rate co-movements. Journal of Policy Modeling 2012, 34(3):419-440.
48. Reboredo J.C. Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking and Finance 2013, 37:2665-2676.
49. Reboredo J.C. Is there dependence and systemic risk between oil and renewable energy stock prices?. Energy Economics 2015, 48:32-45.
50. Reboredo J.C., Ugolini A. Systemic risk in European sovereign debt markets: A CoVaR-copula approach. Journal of International Money and Finance 2015, 51:214-244.
51. Reinhart C.M., Rogoff K.S. This time is different. Eight centuries of financially folly 2009, Princeton University Press.
52. Reinhart C.M., Rogoff K.S. The aftermath of financial crises. The American Economic Review 2009, 99:466-472.
53. Reinhart C.M., Rogoff K.S. Growth in a time of debt 2010, NBER Working Paper 15639.
54. Saldías M. Systemic risk analysis using forward-looking distance-to-default series. Journal of Financial Stability 2013, 9(4):498-517.
55. Segoviano M., Goodhart C. Banking stability measures 2009, IMF Working Paper Series.
56. Sklar A. Fonctions de Riépartition á n Dimensions et Leurs Marges 1959, 229-231. Publications de l'Institut Statistique de l'Université de Paris 8.
57. Tarashev N., Borio C., Tsatsaronis K. Attributing systemic risk to individual institutions 2010, BIS Working Paper No. 308.
58. Weiß G.N., Supper H. Forecasting liquidity-adjusted intraday value-at-risk with vine copulas. Journal of Banking & Finance 2013, 37:3334-3350.
59. Zhou C. Are banks too big to fail? Measuring systemic importance of financial institutions. International Journal of Central Banking 2010, 205-250.