Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network |
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| Affiliation: | 1. School of Economics, Zhejiang University, Hangzhou, China;2. Xiamen National Accounting Institute, Xiamen, China;1. LAMETA Université Montpellier I, France;2. LAMETA-CNRS Université Montpellier I, France;1. Institute of Economics and Management, University of Economics in Bratislava, Slovakia;2. Institute of Financial Complex Systems, Masaryk University, Czech Republic;3. Librade LTD, United Kingdom;4. Department for Management of Science and Technology Development, Ton Duc Thang University, Ho Chi Minh City, Vietnam;5. Faculty of Finance and Banking, Ton Duc Thang University, Ho Chi Minh City, Vietnam;6. Montpellier Business School, Montpellier France |
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| Abstract: | In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Itaú are the origin of the larger systemic shocks from the banking system to the financial system network, the real economy, and the region. The results have implications for the capital regulation of financial institutions and for risk managers' decisions. |
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