Measuring and testing for the systemically important financial institutions
This paper analyzes the measure of systemic importance ΔCoVaR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. Inaddition, we develop a series of testing procedures, based on ΔCoVaR, toidentify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemicx importance. An empirical application illustrates the testing procedures, using equity data for three European banks.
Year of publication: |
2011-06-21
|
---|---|
Authors: | Castro, Carlos ; Ferrari, Stijn |
Institutions: | UNIVERSIDAD DEL ROSARIO |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Stock return comovements and integration within the Latin American integrated market
Castro, Carlos, (2014)
-
Stock return comovements and integration within the Latin American integrated market
Castro, Carlos, (2014)
-
A Network model of systemic risk: identifying the sources of dependence across institutions
Castro, Carlos, (2012)
- More ...