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...
| מחבר ראשי: | |
|---|---|
| מחברים אחרים: | , , |
| פורמט: | כתב-עת |
| שפה: | English |
| יצא לאור: |
Washington, D.C. :
International Monetary Fund,
2012.
|
| סדרה: | IMF Working Papers; Working Paper ;
No. 2012/152 |
| גישה מקוונת: | Full text available on IMF |