In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Italy are the origin of the larger systemic shocks from the banking system to the financial system network. The results have implications for the capital regulation of financial institutions and for risk managers' decisions.
Keywords: Systemic Risk, Brazilian Banking System, Banking Network, Financial Contagion, Financial Crisis