RISCO SISTÊMICO: UMA ANÁLISE DE QUEBRAS ESTRUTURAIS NOS ÍNDICES SETORIAIS BRASILEIROS ATRAVÉS DO MODELO CoVaR

Abstract

Systemic risk: an analysis of structural breaks of brazilian industrial sector stock indices using CoVaR El riesgo sistémico: un análisis de los cambios estructurales en los índices accionarios sectoriales de brasil a través del modelo CoVaRThis study is aimed at identifying the marginal risk contribution of the Brazilian industrial sectors to the systemic risk of the country's stock market, considering relevant variables associated to the Brazilian and the global economy, by means of structural breakdown tests. To accomplish this, a risk management model called Conditional Value-at-Risk (CoVaR) was used. Our main results have shown that the industrial sector contributed the most to the systemic risk of the Brazilian stock market and the financial industry contributed the least, reinforcing findings of empirical studies that the financial sector is not the only one potentially capable of provoking systemic crises.