Modelling of systemic risk of banking sector

Laura Gudelyte, Olga Navickiene

Research output: Contribution to journalArticle

Abstract

Practical implications – determination of the explicit connection based on quantitative methods determining the systemic risk of the banking sector would be exact and objective assessment and useful not only for the banking executives providing business trends, identifying potential sources of risk in the near future, but also for the rest part of society, both ordinary citizens and entrepreneurs with current accounts and deposits in banks. Originality/value – in essence, modelling of the systemic risk and analysis of instability causes of the banking sector applying reliable quantitative methods in Lithuania are not sufficiently developed. Researchers in other countries have established that a high threat of systemic risk is concentrated in the interbank market; many researches have been done to assess this risk, however, problems related to assessment of systemic risk and application of models always occur. The most common problem is the lack of information and assumptions, and constantly changing economic environment: emerging (or which may arise) new types of transactions, the new banking regulatory conditions and other financial innovations. First, whether the country’s banking business is so dependent on each other to create the threat of the systemic risk between banks’ assets and liabilities. Second, the banking sectors of the Baltic states are essentially controlled by large foreign banking groups, so there is no doubt that the international financial groups’ liquidity problems could spill over to other banks in the Baltic states. On the other hand, a question remains essentially and completely unexplored: how and why such problems could spill over in the Baltic Sea region countries? Also, little attention has been paid to the reliability of interbank payment systems and to the analysis of this object as a potential source of systemic risk.
Original languageEnglish
Pages (from-to)359-371
JournalSocialinės technologijos: mokslo darbai
Volume2
Issue number3
Publication statusPublished - 2013

Fingerprint

Systemic risk
Modeling
Banking sector
Banking
Spillover
Threat
Baltic States
Quantitative methods
Systemic analysis
Liability
Lithuania
Economic environment
Payment system
Deposits
Liquidity
Baltic Sea
Entrepreneurs
Interbank market
Financial innovation
Assets

Keywords

  • Banking sector
  • Interbank market
  • Systemic risk

Cite this

Modelling of systemic risk of banking sector. / Gudelyte, Laura; Navickiene, Olga.

In: Socialinės technologijos: mokslo darbai, Vol. 2, No. 3, 2013, p. 359-371.

Research output: Contribution to journalArticle

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