Trabalho Final de Mestrado

Ano Lectivo:	2019/2020
Aluno:	SINA FAZLOLLAHZADEH EILAGHI (49549)
Mestrado:	Economia Monetária e Financeira
Tipo:	Dissertação
Título do Trabalho Final de Mestrado:	SYSTEMIC RISK INDICATORS - THE CASE OF PORTUGAL
Sub Título:
Comentário:	-
Instituição:	-
Homologação:	Dia 19/02/2020 às 07:46 por NUNO JOÃO DE OLIVEIRA VALÉRIO

Resumo

This dissertation is an effort to shed more light upon systemic risk of Portuguese financial systems. At first, companies listed in Portuguese stock market index (PSI-20) is considered, and then, the attention is shifted to banking system. Considering the first part, the PSI-20 index is considered as financial system index, and spillover effect and marginal risk contribution of companies to the system is detected. CoVaR and ΔCoVaR are the risk indicators used for this purpose. CoVaR shows the spillover effect of a company or system being distressed to another, and ΔCoVaR measures the contribution of a firm or system to another one if its state changes from median to distressed situation. Secondly, banking system of Portugal is considered separately, and the same indicators are used to quantify the linkage of banks and the system. It is concluded that BCP is adding less risk to other banks and the system compared to the risk contributed to it. Thirdly, the spillover effect and risk contribution of major international banks on Portuguese banking system and vice versa are analysed to figure out which banks affect Portuguese financial system more in case of being distressed, and the other way around. Lastly, we estimated CoVaR and ΔCoVaR for BES. Since BES was resolved in 2014, it sounded interesting to detect which international banks were more affected by the event, and which one contributed more risk to it. The conclusion was that the Portuguese banking system and BES is more linked to European banks that others.   (Português)

This dissertation is an effort to shed more light upon systemic risk of Portuguese financial systems. At first, companies listed in Portuguese stock market index (PSI-20) is considered, and then, the attention is shifted to banking system. Considering the first part, the PSI-20 index is considered as financial system index, and spillover effect and marginal risk contribution of companies to the system is detected. CoVaR and ΔCoVaR are the risk indicators used for this purpose. CoVaR shows the spillover effect of a company or system being distressed to another, and ΔCoVaR measures the contribution of a firm or system to another one if its state changes from median to distressed situation. Secondly, banking system of Portugal is considered separately, and the same indicators are used to quantify the linkage of banks and the system. It is concluded that BCP is adding less risk to other banks and the system compared to the risk contributed to it. Thirdly, the spillover effect and risk contribution of major international banks on Portuguese banking system and vice versa are analysed to figure out which banks affect Portuguese financial system more in case of being distressed, and the other way around. Lastly, we estimated CoVaR and ΔCoVaR for BES. Since BES was resolved in 2014, it sounded interesting to detect which international banks were more affected by the event, and which one contributed more risk to it. The conclusion was that the Portuguese banking system and BES is more linked to European banks that others.   (Inglês)

Palavras-chave

Risco sistêmico; Instituições financeiras; Crises financeiras; Indicadores de Risco; Sistema financeiro (Português)

Systemic Risk; Financial Institutions; Financial Crises; Risk Indicators; Financial System (Inglês)

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Data da Prova Pública

Data da Prova Pública:	27-02-2020 11:00

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