TY  - UNPD
A1  - Khalifa, Ahmed A. A.
A1  - Caporin, Massimiliano
A1  - Costola, Michele
A1  - Hammoudeh, Shawkat M.
T1  - Systemic risk for financial institutions of major petroleum-based economies: the role of oil
T2  - SAFE working paper series ; No. 172
N2  - This paper examines the relationship between oil movements and systemic risk of financial institution in major petroleum-based economies. We estimate ΔCoVaR for those institutions and observe the presence of elevated increases in its levels corresponding to the subprime and global financial crises. The results provide evidence in favor of risk measurement improvements by accounting for oil returns in the risk functions. The spread between the standard CoVaR and the CoVaR that includes oil absorbs in a time range longer than the duration of the oil shock. This indicates that the drop in the oil price has a longer effect on risk and requires more time to be discounted by the financial institutions. To support the analysis, we consider also the other major market-based systemic risk measures.
T3  - SAFE working paper - 172 
KW  - Systemic Risk
KW  - Risk Measurement
KW  - VaR
KW  - ΔCoVaR
KW  - Oil
KW  - Financial Institutions
KW  - Petroleum-based Economies
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43995
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-439951
UR  - https://ssrn.com/abstract=2985352
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -