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Measuring and testing for the systemically important financial institutions

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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.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.eng
dc.format.extent37 páginasspa
dc.format.mediumRecurso electrónicospa
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dc.identifier.citationCastro, C., & Ferrari., S. (2011). Measuring and testing for the systemically important financial institutions. Bogotá: Universidad del Rosario.
dc.identifier.doihttps://doi.org/10.48713/10336_10821
dc.identifier.editorialUniversidad del Rosariospa
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/10821
dc.language.isospa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.relation.citationIssueNo. 101
dc.relation.citationTitleSerie Documentos de trabajo. Economía
dc.relation.ispartofSerie documentos de trabajo. No 101 (Mayo 2011)spa
dc.relation.urihttps://ideas.repec.org/p/col/000092/008779.html
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto completo)spa
dc.rights.ccAtribución-NoComercial-SinDerivadas 2.5 Colombiaspa
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dc.source.instnameinstname:Universidad del Rosariospa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.ddcAdministración general
dc.subject.lembInstituciones financierasspa
dc.subject.lembEvaluación de riesgosspa
dc.subject.lembCrisis financieraspa
dc.subject.lembAdministración financieraspa
dc.titleMeasuring and testing for the systemically important financial institutionsspa
dc.typeworkingPapereng
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaDocumento de trabajospa
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