This paper uses three methodologies for measuring the existence of systemic risk in the
Colombian banking system. The determination of its existence is based on implementing …

One of the most pressing questions in the aftermath of the financial crisis is how to deal with
systemically important financial institutions (SIFIs). The purpose of this paper is to review the …

We investigate the drivers of systemic risk and contagion among banks in the Latin
American financial sector. First, a systemic risk measure analysing tail co-movements of …

This paper considers the location‐scale quantile autoregression in which the location and
scale parameters are subject to regime shifts. The regime changes in lower and upper tails …

The main point of this work is to assess how a financial distress in return series of the major
Brazilian companies assets and relevant domestic market (Ibovespa) and main international …

In this research, it is attempted to present a framework for estimating and predicting systemic
risk in Iran capital market using the marginal expected shortfall approach (MES), which has …

The 2010/11 European debt crisis has revived the discussion concerning the optimal
adjustment strategy in the face of asymmetric shocks. This paper approaches the question …

Financial institutions show a characteristic risk exposure and vulnerability, making them
prone to instability. Financial systems in Latin America, however, were left largely unscathed …

Este trabajo hace una contribución a la caracterización de las entidades sistémicas así
como las vías mediante las cuales este riesgo se presenta en el sistema. Inicialmente …

In this paper we use the conditional Value at Risk (CoVaR) and CoVaR variation (ΔCoVaR)
proposed by Adrian and Brunnermeier (2008, 2011, 2016) to estimate the Peruvian stock …