00000ctm a2200000 i 4500 UP-99796217613906378 Buklod 20220831141927.0 aa r ||| u ta 220831s2020 xx d |||| ||eng | (iLib)UPD-00531972092 DECON rda eng DMLUC LG 993.5 2020 E2 G33 Gaborni, Michael James C. author. Systemic risk of the Philippines application of the SRISK risk measure to top Philippine banks by Michael James C. Gaborni, Richdale Brylle C. Razote. Quezon City School of Economics, University of the Philippines Diliman 2020. 93 leaves 28 cm text rdacontent unmediated rdamedia volume rdacarrier Thesis (B.S. Economics) -- University of the Philippines Diliman November 2020. The paper applies the SRISK measure of systemic risk constructed by Brownlees and Engle (2017), to the Philippines. SRISK estimates the expected capital shortfall of a firm in the event of a systemic crisis. Capital shortfall is an indicator of firm- and of systemic riskiness as it reflects the excessiveness of credit growth which has been the main cause and precursor of financial crisis. Studies in other countries have used the SRISK to measure the riskiness of their financial systems and the risk contribution of firms. Replicating past research, the paper measures the SRISK of top 8 universal banks in the Philippines from the GFC period beginning 2007 up to the near-present 2019, ranks them according to this measure, and pins the factors explaining the results. Results show an increasing SRISK across the sample and at the systemic level, and point to the build-up of bank debt as the main factor behind this trend. The findings may help regulators in constructing macroprudential policy to mitigate the rising systemic risk in the country and in adopting the best quantitative tools for this purpose. Financial risk Philippines. Capital Risk management Philippines. Banks and banking Philippines. Razote, Richdale Brylle C. joint author. Thesis FI UP UPD DECON LG 993.5 2020 E2 G33 Thesis