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Measuring and testing for the systemically important financial institutions

  • Carlos Castro


  • Stijn Ferrari

This 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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Paper provided by UNIVERSIDAD DEL ROSARIO in its series DOCUMENTOS DE TRABAJO with number 008779.

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Date of creation: 21 Jun 2011
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Handle: RePEc:col:000092:008779
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