Systemic risk of the Philippines application of the SRISK risk measure to top Philippine banks

Systemic risk of the Philippines application of the SRISK risk measure to top Philippine banks

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 exc...

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Bibliographic Details
Main Author: Gaborni, Michael James C. (Author)
Other Authors: Razote, Richdale Brylle C. (joint author.)
Format: Thesis
Language:English
Subjects:
Financial risk > Philippines.
Capital > Risk management > Philippines.
Banks and banking > Philippines.