Índices De Risco Sistêmico Para O Setor Bancário

  • Capelletto L
  • Corrar L
  • 46

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Abstract

The significant economic and social costs caused by financial crises have conducted the efforts of international institutions and supervisory authorities towards research about systemic risk. The main goal has been to identify common characteristics able to foresee the proximity of crises. Likewise, this study aimed to develop systemic risk indicators (IRS), comprising accounting and economic variables, able to measure the systemic risk level of the banking sector. The indicators were submitted to logistic regression analysis and the result revealed indicators able to discriminate banking systems according to the risk level with statistical significance. The most relevant indicators are related to the volatility of non-performing loans, profitability and interest rate, as well as mean profitability and credit risk. In addition, the comparison between the indicators' evolution and the crises that have occurred demonstrated the IRS' efficacy for risk measurement in systemic banking crises.

Author-supplied keywords

  • Accounting
  • Banking crises
  • Contabilidade
  • Crise bancária
  • Crise financeira
  • Financial crises
  • Indicadores
  • Indicators
  • Risco
  • Risk

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Authors

  • Lucio Rodrigues Capelletto

  • Luiz João Corrar

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