Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212736 
Year of Publication: 
2012
Series/Report no.: 
BOFIT Discussion Papers No. 12/2012
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
The 2007-2009 global financial crisis demonstrated the need for effective systemic risk measurement and regulation. This paper proposes a straightforward approach for estimat-ing the systemic funding liquidity risk in a banking system and identifying systemically critical banks. Focusing on the surplus of highly liquid assets above due payments, we find systemic funding liquidity risk can be expressed as the distance of the aggregate liquidity surplus from its current level to its critical value. Calculations are performed using simu-lated distribution of the aggregate liquidity surplus determined using Independent Compo-nent Analysis. The systemic importance of banks is then assessed based on their contribu-tion to variation of the liquidity surplus in the system. We apply this methodology to the case of Russia, an emerging economy, to identify the current level of systemic funding li-quidity risk and rank banks based on their systemic relevance.
Subjects: 
systemic risk
liquidity surplus
banking
Russia
JEL: 
G21
G28
P29
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-743-6
Document Type: 
Working Paper

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