Measuring and testing for the systemically important financial institutions
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2011
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| Resumo |
This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks. |
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application/pdf |
| Identificador | |
| Publicador |
Facultad de Economía |
| Relação |
Serie documentos de trabajo. No 101 (Mayo 2011) https://ideas.repec.org/p/col/000092/008779.html |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
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| Palavras-Chave | #Instituciones financieras #Evaluación de riesgos #Crisis financiera #Administración financiera #658.15 |
| Tipo |
info:eu-repo/semantics/book info:eu-repo/semantics/acceptedVersion |
