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Looking at the tail: price-based measures of systemic importance

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  • Chen Zhou
  • Nikola Tarashev

Abstract

We use tools of extreme value theory to extract information about rare events from market prices. We find that such information contributes materially to measures of banks' systemic importance. These measures exhibit strong and intuitive relationships with simple characteristics of banks' balance sheets and income statements.

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Bibliographic Info

Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2013)
Issue (Month): (June)
Pages:

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Handle: RePEc:bis:bisqtr:1306g

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  1. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
  2. Nikola Tarashev & Mathias Drehmann, 2011. "Measuring the systemic importance of interconnected banks," BIS Working Papers 342, Bank for International Settlements.
  3. Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
  4. Adrian Blundell-Wignall & Caroline Roulet, 2012. "Business models of banks, leverage and the distance-to-default," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2012(2), pages 7-34.
  5. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
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