On systemic risk formation: The role of risk spillovers, interconnectivity and macroprudential policy

Jakob Bosma

Research output: ThesisThesis fully internal (DIV)

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Abstract

This dissertation comprises of four studies on the topic of modeling systemic risk formation in the financial sector. The main findings indicate that beyond the sheer number of banks and their sizes, it is their degree of connectedness that pertains to systemic risk formation. In particular, banks that we find to be most connected with other financial institutions are more likely to receive bailout support during financial crises. Another result indicates that when it comes to regulating the banking sector, regulators have to take into account dependencies between policy tools in their design. Ignoring these dependencies may result in undesirable and unanticipated outcomes. Yet another contribution of this thesis is a presentation of a credit-risk model that may assist in the pricing of Credit Default Spreads. Additionally, the model incorporates the presence of implicit guarantees extended by financial regulators to banks in order to maintain financial stability in the financial industry. A validation study shows that these estimated implicit guarantees indeed pertain to future bailouts being channeled to the subject bank.
Translated title of the contributionOver de Formatie van Systeem Risico: De rol van risico besmetting, financiële verbindingen en macroprudentieel beleid
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • University of Groningen
Supervisors/Advisors
  • Koetter, Michael, Supervisor
  • Roszbach, Kasper, Supervisor
  • Dam, Lammertjan, Co-supervisor
Award date18-Dec-2014
Place of PublicationGroningen
Publisher
Print ISBNs978-90-367-7480-2
Electronic ISBNs978-90-367-7479-6
Publication statusPublished - 2014

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