Systemic risk

Systemic financial risk


Public exposure and responses to data breaches in Australia: October 2022

This paper reports Australians' views about data trust, cybercrime and data breaches and how these have changed. It is based on data from four waves of the ANUpoll collected over the period October 2019 to October 2022.

Professional Indemnity Insurance Roundtable: report for stakeholders and further actions

This summary report outlines key themes and actions from the Professional Standards Councils’ Roundtable on professional standards schemes and indemnity insurance.
Working paper

The changing international network of sovereign debt and financial institutions

We develop a theoretical and empirical framework to model the international connections between financial institutions and sovereign debt markets. The empirical framework nests both tests of contagion and changes in the structure of the network itself. The network is found to be robust but fragile.
Working paper

The Value of Bank Capital Buffers in Maintaining Financial System Resilience

The Australian Financial System Inquiry (FSI) has identified ways to improve the efficiency and resilience of the Australian banking system. In particular, bank capital levels are expected to be unquestionably strong. However, limited empirical guidance on the size of such buffers exists. We analyse the...
Working paper

Role of loan portfolio losses and bank capital for Asian financial system resilience

This paper analyses the systemic risk in relation to bank lending for Asian economies. The methodology complements existing market-based systemic risk measures by providing measures based on accounting information that regulators typically collect. Loan loss provisions of banks are decomposed into (i) a prediction component...
Working paper

Surfing through the GFC: Systemic risk in Australia

We provide empirical evidence on the degree of systemic risk in Australia before, during and after the Global Financial Crisis. We calculate a daily index of systemic risk from 2004 to 2013 in order to understand how real economy firms influence the outcomes for the...
Working paper

Emergence of systemically important insurers

The increasingly intertwined banking and insurance sectors have lead to calls for stronger regulatory oversight of the insurance industry as potentially systemically risky. Ultimately systemic risk impacts the real economy, and this paper measures the risk via interconnectedness of the banking, insurance and real economy...
Working paper

Systemic Financial Risk Inference in a Global Setting

We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To derive financial risk...
Working paper

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

This paper analyses the pricing of systematic risk factors in credit default swap contracts in a two-stage empirical framework. In the first pass, we estimate contract specific sensitivities to several systematic risk factors by time-series regressions using quoted credit default swap (CDS) spreads of 339...
Working paper

Decomposing the smile: systematic credit risk in mortgage Portfolios

This study analyzes systematic and non-systematic credit risk in mortgage portfolios given US loan-level information by controlling for time-varying observable information in relation to the borrower, the collateral and the macro economy. The total risk in relation to rating class default rates is decomposed into...
Working paper

The implications of complexity for systemic risk in the superannuation system

The funds, entities and regulators involved in the superannuation industry together comprise a system that is complex and dynamic. The differentiation between roles and the distribution of responsibility offers the system as a whole resilience against local failure. However the interconnections that bind and constitute...
Working paper

Googling SIFIs

To measure the systemic risk in financial markets, and rank systemically important financial institutions (SIFIs), we propose a methodology based on the Google PageRank algorithm. We understand the economic system as interconnected risk shocks of firms in both the financial sector and the real economy...