Measuring and testing for the systemically important financial institutions
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 ran...
Autores Principales: | , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Universidad del Rosario
2011
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Materias: | |
Acceso en línea: | http://repository.urosario.edu.co/handle/10336/10821 |