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Measuring and testing for the systemically important financial institutions
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Castro, Carlos
Ferrari., Stijn
Fecha
2011
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Universidad del Rosario
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Abstract
This 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.
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Castro, C., & Ferrari., S. (2011). Measuring and testing for the systemically important financial institutions. Bogotá: Universidad del Rosario.