Provider: Ingenta Connect Database: Ingenta Connect Content: application/x-research-info-systems TY - ABST AU - Romero, Laura Capera AU - Gonza´lez, Esteban Go´mez AU - Quintero, Mariana Laverde AU - Mosquera, Miguel A´ngel Morales TI - Measuring systemic risk in the Colombian financial system: A systemic contingent claims approach JO - Journal of Risk Management in Financial Institutions PY - 2013-07-01T00:00:00/// VL - 6 IS - 3 SP - 253 EP - 279 KW - contingent claims KW - copula KW - macroprudential supervision KW - Black– KW - Scholes– KW - Merton KW - systemic risk N2 - The financial crisis of the late 2000s underscored the importance of identifying systemically significant institutions and developing mechanisms to internalise the externalities they create on the economy should they fail. Using monthly data for the period between September 2001 and March 2011, bankspecific probabilities of default and expected losses given default are calculated. Subsequently, the joint distribution of such expected losses is estimated and the aggregate cost of the implicit bailout option for the government is quantified. Results suggest that even though systemic risk is currently not a major concern in the Colombian banking system, quantifying these risks helps to enhance the supervisory and regulatory framework. Continuous monitoring of the joint expected losses given default should assist in anticipating future stress scenarios and, as such, constitutes a powerful macroprudential tool for policymakers. UR - https://www.ingentaconnect.com/content/hsp/jrmfi/2013/00000006/00000003/art00004 ER -