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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| 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 |
MARC
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| 245 | 0 | 0 | |a Systemic risk and asymmetric responses in the financial industry / |c prepared by German Lopez-Espinosa [and others]. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
| 300 | |a 1 online resource (38 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/12/152 | |
| 505 | 0 | |a Modeling Systemic Risk: CoVaR -- Asymmetric CoVaR -- Data -- Downside Comovement in the U.S. Banking Industry. | |
| 520 | |a 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 and negative shocks to the market-valued balance sheets of individual banks. For the median of our sample of U.S. banks, the relative impact on the system of a fall in individual market value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric pattern increases with bank size. The conditional tail comovement between the banking system and a top decile bank which is losing market value is 5.4 larger than the unconditional tail comovement versus only 2.2 for banks in the bottom decile. The asymmetric model also produces much better estimates and fitting, and thus improves the capacity to monitor systemic risk. Our results suggest that ignoring asymmetries in tail interdependence may lead to a severe underestimation of systemic risk in a downward market. | ||
| 504 | |a Includes bibliographical references. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Financial services industry |z United States |x Econometric models. | |
| 650 | 0 | |a Financial crises |z United States |x Econometric models. | |
| 650 | 0 | |a Risk |z United States |x Econometric models. | |
| 650 | 6 | |a Services financiers |z États-Unis |x Modèles économétriques. | |
| 650 | 6 | |a Risque |z États-Unis |x Modèles économétriques. | |
| 650 | 7 | |a Financial crises |x Econometric models |2 fast | |
| 650 | 7 | |a Financial services industry |x Econometric models |2 fast | |
| 650 | 7 | |a Risk |x Econometric models |2 fast | |
| 651 | 7 | |a United States |2 fast |1 https://id.oclc.org/worldcat/entity/E39PBJtxgQXMWqmjMjjwXRHgrq | |
| 700 | 1 | |a López Espinosa, Germán, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department, |e issuing body. | |
| 758 | |i has work: |a Systemic risk and asymmetric responses in the financial industry (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFXJr7WTXKBFkKkYMbVy8d |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | |z 9781475504347 | |
| 776 | 0 | |z 9781475517569 | |
| 830 | 0 | |a IMF working paper ; |v WP/12/152. | |
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