Measuring and testing for the systemically important financial institutions |
| |
| Affiliation: | 1. Faculty of Economics, Universidad del Rosario, Colombia;2. National Bank of Belgium, Belgium;1. IIASA, Schlossplatz 1, A-2361 Laxenburg, Austria;2. Section for Science of Complex Systems, Medical University of Vienna, Spitalgasse 23, 1090, Austria;3. Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA;4. Institute of New Economic Thinking at the Oxford Martin School, Eagle House, Walton Well Rd., Oxford OX2 3ED, UK;5. Mathematical Institute, University of Oxford, Woodstock Rd., Oxford OX2 6GG, UK;6. Complexity Science Hub Vienna, Josefstädter Straße 39, 1080 Vienna, Austria |
| |
| Abstract: | This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR 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 ΔCoVaR, one financial institution is more systemically important than another. We provide an empirical application on a sample of 26 large European banks to show the importance of statistical testing when using ΔCoVaR, and more generally also other market-based systemic risk measures, in this context. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
