Testing for the Systemically Important Financial Institutions: a Conditional Approach
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More about this item
KeywordsSystemic Risk; SIFIs; CoVaR; Estimation Uncertainty; Conditional Predictive Ability Test.;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-02 (All new papers)
- NEP-BAN-2013-10-02 (Banking)
- NEP-CBA-2013-10-02 (Central Banking)
- NEP-ECM-2013-10-02 (Econometrics)
- NEP-FOR-2013-10-02 (Forecasting)
- NEP-RMG-2013-10-02 (Risk Management)
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