workingPaper
Measuring and testing for the systemically important financial institutions
Fecha
2011Registro en:
Castro, C., & Ferrari., S. (2011). Measuring and testing for the systemically important financial institutions. Bogotá: Universidad del Rosario.
Universidad del Rosario
Autor
Castro, Carlos
Ferrari., Stijn
Institución
Resumen
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.