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Systemic risk and asymmetric responses in the financial industry /

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to positive an...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: López Espinosa, Germán (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2012.
Colección:IMF working paper ; WP/12/152.
Temas:
Acceso en línea:Texto completo