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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Autores Principales: Castro, Carlos, Ferrari., Stijn
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2011
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10821
id ir-10336-10821
recordtype dspace
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Administración general
Instituciones financieras
Evaluación de riesgos
Crisis financiera
Administración financiera
spellingShingle Administración general
Instituciones financieras
Evaluación de riesgos
Crisis financiera
Administración financiera
Castro, Carlos
Ferrari., Stijn
Measuring and testing for the systemically important financial institutions
description 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.
format Documento de trabajo (Working Paper)
author Castro, Carlos
Ferrari., Stijn
author_facet Castro, Carlos
Ferrari., Stijn
author_sort Castro, Carlos
title Measuring and testing for the systemically important financial institutions
title_short Measuring and testing for the systemically important financial institutions
title_full Measuring and testing for the systemically important financial institutions
title_fullStr Measuring and testing for the systemically important financial institutions
title_full_unstemmed Measuring and testing for the systemically important financial institutions
title_sort measuring and testing for the systemically important financial institutions
publisher Universidad del Rosario
publishDate 2011
url http://repository.urosario.edu.co/handle/10336/10821
_version_ 1645141410265956352
spelling ir-10336-108212019-09-19T12:37:01Z Measuring and testing for the systemically important financial institutions Castro, Carlos Ferrari., Stijn Administración general Instituciones financieras Evaluación de riesgos Crisis financiera Administración financiera 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. 2011 2015-09-18T13:00:13Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion Castro, C., & Ferrari., S. (2011). 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