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...

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Detalles Bibliográficos
Autores Principales: Castro, Carlos, Ferrari., Stijn
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2011
Acceso en línea: