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Carlos Castro, U. del Rosario Print
Thursday, 15 March 2012, 12:15 - 13:15

Carlos Castro,  Universidad del Rosario


Measuring and testing for the systemically important financial institutions

Abstract: This paper analyzes the measure of systemic importance ΔCoVaR 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 ΔCoVaR, 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.

Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it