Measuring and testing for the systemically important financial institutions
AbstractThis paper analyzes the measure of systemic importance ΔCoVaR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. Inaddition, we develop a series of testing procedures, based on ΔCoVaR, toidentify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemicx importance. An empirical application illustrates the testing procedures, using equity data for three European banks.
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Date of creation: 21 Jun 2011
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-BAN-2011-07-02 (Banking)
- NEP-ECM-2011-07-02 (Econometrics)
- NEP-RMG-2011-07-02 (Risk Management)
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