Assessing Systemic Risk in the Brazilian Interbank Market

Benjamin Tabak, Sergio Souza and Solange Guerra

No 318, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: In this paper, we propose a methodology to measure systemic risk that stems from financial institutions (FIs) interconnected in interbank markets. We show that this framework is useful to identify systemically important FIs. This methodology can be used to perform stress tests using additional information from FIs default probabilities and their correlation structure. We present how to implement this methodology and apply it to the Brazilian case. We also evaluate the effects of the recent global crisis on the interbank market.

Date: 2013-07
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-lam and nep-rmg
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