Abstract
Traditionally, the literature in systemic risk focuses on financial institutions and on their relations. The financial crisis that began in the United States in 2007 and, particularly, the subsequent European sovereign debt crisis have shown that there are many more channels of contagion apart from the ones that link risks within the banking system. As these channels propagate shocks, understanding them better can help to defect the mechanics behind systemic risk. This type of analysis is, nevertheless, confronted with several data gaps and limitations, which flow-of-funds statistics tries to overcome.
The authors are thankful to the Statistic Department of the Banco de Portugal for providing information on financial accounts. The authors are also thankful to Ad van Riet for his comments. The opinions expressed are those of the authors and not necessarily those of Banco de Portugal or the Eurosystem. Any errors and omissions are the sole responsibility of the authors.
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© 2014 Numo Silva, Nuno Ribeiro, Antómo Anilines
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Silva, N., Ribeiro, N., Antunes, A. (2014). Towards a Systemic Risk Indicator Based on Contingent Claim Analysis. In: Winkler, B., van Riet, A., Bull, P. (eds) A Flow-of-Funds Perspective on the Financial Crisis. Palgrave Studies in Economics and Banking. Palgrave Macmillan, London. https://doi.org/10.1057/9781137353016_9
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DOI: https://doi.org/10.1057/9781137353016_9
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