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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| Autres auteurs: | , , |
| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2012.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2012/152 |
| Accès en ligne: | Full text available on IMF |