Systemic risk analysis via D-vine quantile regression: the case of Silicon Valley Bank

• Ano de defesa: 2024
• Autor(a) principal: Santos, Marcos Vinícius Rodrigues de Oliveira
• Orientador(a): Tófoli, Paula Virgínia
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Católica de Brasília
• Programa de Pós-Graduação: Programa Stricto Sensu em Economia de Empresas
• Departamento: Escola de Humanidades, Negócios e Direito
• País: Brasil
• Palavras-chave em Português: Risco sistêmico; Bancos; Regressão qunatílica; Cópula
• Palavras-chave em Inglês: Systemic risk; Banks; Silicon Valley; D-vine; Quantile regression; CoVaR; Copula
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: https://bdtd.ucb.br:8443/jspui/handle/tede/3433

With the failures of Silicon Valley Bank and Signature Bank at the beginning of 2023, a red sign lighted up. Such banks figured among the US banks with the highest proportions of uninsured deposits and, with the recent rise in interest rates in US, the market value of their assets declined and the uninsured depositors ran to withdraw their money. According to S&P Global Market Intelligence (2023), many large and medium banks in US also presented high proportions of uninsured deposits by the end of 2022, being susceptible to bank runs. Therefore, in this dissertation, we aim at analyzing the possible spillover effects of a crisis emerging among the US banks with the highest proportions of uninsured deposits over the US insurance sector and the European banking sector. For that purpose, we perform a stress test using a D-vine based quantile regression and a data set of daily log-returns of 12 US banks with high proportion of uninsured deposits (both medium and large banks), 4 US insurance companies and 10 European banks, from December 30, 2014, to March 8, 2023. The results of the stress test suggest that, overall, a crisis involving these banks would strongly affect both the US insurance sector and the European banking sector, although with a stronger geographical impact.