Measuring and Testing for the Systemically Important Financial Institutions

Serie

• Working Paper Research

Resumen

• This paper analyses “Delta CoVaR” proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of “Delta CoVaR” that allows determining whether or not a financial institution can be classified as being systemically important on the basis of the estimated systemic risk contribution, as well as a test of dominance aimed at testing whether or not, according to “Delta CoVaR”, one financial institution is more systemically important than another. We provide two applications on a sample of 26 large European banks to show the importance of statistical testing when using “Delta CoVaR”, and more generally also other market-based systemic risk measures, in this context.

autores

• Castro Iragorri, Carlos
• Ferrari, Stijn

fecha de publicación

• 2012-10

Área temática

• C21 - Modelos de sección cruzada; Modelos espaciales; Modelos de efecto de tratamiento; Regresiones cuantiles
• C58 - Econometría financiera
• G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio

Enfoque geográfico

• Colombia  Country

Líneas de investigación

• Interconnectedness
• Quantile Regression
• Stochastic Dominance Test
• Systemic Risk

Issue

• 228