Non-bank financial institutions: assessment of their impact on the stability of the financial system



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A7.2.3
 
Distress insurance premium 
The distress insurance premium is measured by the price of insurance against systemic financial 
distress and an assessment of individual banks' marginal contribution to systemic risk.
The systemic risk indicator, a hypothetical insurance premium against catastrophic losses in a 
banking system, is constructed from real-time financial market data. The two key default risk 
factors, the probability of default (PD) of individual banks and the asset return correlations among 
banks, are estimated from CDS spreads and equity price co-movements, respectively. 
To compute the indicator, a hypothetical debt portfolio that consists of total liabilities of all 
relevant financial intermediaries is constructed. The systemic risk indicator, effectively weighted 
by the liability size of each bank, is defined as the insurance premium that protects against 
distressed losses of this portfolio. 
Marginal risk is calculated for each financial intermediary as the conditional expected loss from 
that sub-portfolio, conditional on a large loss for the full portfolio (see Huang, Zhou and Zhu (2009) 
for details). 
A7.2.4
 
Systemic Risk Indicator 
Huang et al. (2011) propose use a systemic risk indicator reflecting the price of insurance against 
systemic financial distress. This indicator is equal to the hypothetical insurance premium against 
catastrophic losses in the banking system. Their complex approach involves computing risk-neutral 
probability of defaults and loss given default for individual banks, asset return correlations 
between individual banks and then the construction of a hypothetical debt portfolio that consists 
of the total liabilities (deposits, debts and others) of all banks. 
A7.2.5
 
Shapley value approach 
Tarashev et al. (2010) propose to adopt the Shapley value approach developed in game theory for 
the attribution of systemic risk to individual institutions, In their analysis, they note that an 
institution’s size, risk profile (probability of default and exposure to systematic risk raise the 
institution’s systemic importance. Importantly, they also find that, ceteris paribus, the institution’s 
systemic importance increases non-linearly (more than proportionally) with size.

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