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dc.creatorCastro, Carlos 
dc.creatorFerrari., Stijn 
dc.date.accessioned2015-09-18T13:00:13Z
dc.date.available2015-09-18T13:00:13Z
dc.date.created2011
dc.date.issued2011
dc.identifier.citationCastro, C., & Ferrari., S. (2011). Measuring and testing for the systemically important financial institutions. Bogotá: Universidad del Rosario.
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/10821
dc.description.abstractThis paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.
dc.format.extent37 páginas
dc.format.mediumRecurso electrónico
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.relation.ispartofSerie documentos de trabajo. No 101 (Mayo 2011)
dc.relation.urihttps://ideas.repec.org/p/col/000092/008779.html
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.sourceinstname:Universidad del Rosario
dc.subject.ddcAdministración general 
dc.subject.lembInstituciones financieras
dc.subject.lembEvaluación de riesgos
dc.subject.lembCrisis financiera
dc.subject.lembAdministración financiera
dc.titleMeasuring and testing for the systemically important financial institutions
dc.typeworkingPaper
dc.publisherUniversidad del Rosario
dc.publisher.departmentFacultad de Economía
dc.identifier.editorialUniversidad del Rosario
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.type.spaDocumento de trabajo
dc.rights.accesoAbierto (Texto completo)
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
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dc.format.tipoDocumento
dc.rights.ccAtribución-NoComercial-SinDerivadas 2.5 Colombia
dc.relation.citationIssueNo. 101
dc.relation.citationTitleSerie Documentos de trabajo. Economía


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