Risco Sistêmico do sistema bancário no Brasil
type: CreativeWork
description: After the implementation of the Real Plan in Brazil, we have observed the tendency of the concentration of assets in few banks, which is detrimental to creditors and users. The objective of this paper is to measure and describe which Brazilian banks most contribute to the risk of the banking system, in case of default. The CoVar method used by Adrian and Brunnermeier (2011) was used for bank asset data, and bank and non-bank liabilities. For this purpose, 20 institutions were used to show that the systemic risk is concentrated in only a few institutions. Among them, public, private and cooperative banks were used. It was verified that the concentration of risk occurs in some banks, since they present about 80% of the financial assets and liabilities of the banking market. In addition, systemic risk presented itself in a balanced way between public and private banks.
abstract: After the implementation of the Real Plan in Brazil, we have observed the tendency of the concentration of assets in few banks, which is detrimental to creditors and users. The objective of this paper is to measure and describe which Brazilian banks most contribute to the risk of the banking system, in case of default. The CoVar method used by Adrian and Brunnermeier (2011) was used for bank asset data, and bank and non-bank liabilities. For this purpose, 20 institutions were used to show that the systemic risk is concentrated in only a few institutions. Among them, public, private and cooperative banks were used. It was verified that the concentration of risk occurs in some banks, since they present about 80% of the financial assets and liabilities of the banking market. In addition, systemic risk presented itself in a balanced way between public and private banks.
author: Delfim, Caroline Melo
language: por
keywords: RISCO SISTÊMICO, MERCADO BANCÁRIO, MÉTODO COVAR, ATIVOS BANCÁRIOS, PASSIVOS BANCÁRIOS
date published: 2017-06-14
date modified: 2026-07-24T01:18:24Z
provider: Brazil UFPB
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: Universidade Federal da Paraíba