Systemic Risk in the Peruvian Financial System

This paper computes a dynamic measure of systemic risk for major Peruvian banks, under a macroprudential approach and during the period 1996 to 2013. Then, we estimate the expected losses from equity for a level of probability, conditional on a stress scenario in the market (Marginal Expected Shortfall, MES), as well as expected leverage ratios and individual expected losses as a proportion of the financial system. The results show that the two financial crises considered in the sample induced different responses in the MES, in the expected leverage and in expected losses. In particular, banks with a strong presence of foreign capitals were more sensitive to the recent international financial crisis. (Audio: Department of Economic Publications)