Risco Sistêmico e efeito contágio no mercado financeiro brasileiro: uma abordagem CoVaR

Abstract

The main objective is to investigate the contribution of publicly traded companies in the Brazilian financial market to the systemic risk with a CoVaR approach. From this, it is possible, through quantile regressions, to obtain the value at risk of the conditional system belonging to each institution at a time of financial distress. For this, however, not only a statistical descriptive analysis is performed on the return series corresponding to the assets analyzed, but also the unit root and normality tests. In this sense, the systemic calculation is extended to a restricted examination through the elaboration of a matrix of contagious effect, identifying, therefore, the companies that most spread and those that are most affected by, in the face of financial stress. Finally, we analyze the exposure of companies to a great loss of the financial system. The results obtained show a systemic importance of state-owned Petrobrás and Itaú-Unibanco, as well as the lack of correlation between CoVaR and VaR.