Working paper: Systemic risk in Danish banks: Implementing SRISK in a Danish context

Frontpage for Working Paper: Systemic risk in Danish banks: Implementing SRISK in a Danish context
Authors Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft
Subject Financial risks; Financial sector
Type Working paper
Year 2016
Published 5 February 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09. According to SRISK, the Danish financial sector is well-capitalized as of end-2015.