期刊名称：International Journal of Advances in Management and Economics
印刷版ISSN：2278-3369
出版年度：2013
卷号：2
期号：4
出版社：International Journal of Advances in Management and Economics
摘要：We study the banks equity evolution constraint to the market conditions and financial derivatives. Thus, we try to detect the systemic risk sources cross accounting tools; market conditions and financial market derivatives. We apply the quantile regression panel data and calculate the conditional variance to investigate the risk transmission by contagion between different accounts. This allows us to interpret the internal dynamics between the different accounts of bank’s balance sheet. Thus, we identified the source of instability and accounts risks infected by contagion transmission. We conclude that transmission of systemic risk between accounts within a single institution and intra-institution by the contagion effect is justified during the process trained to market conditions.
