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150128 ||| eng |
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|a 9781475504347
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|a López-Espinosa, Germán
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| 245 |
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|a Systemic Risk and Asymmetric Responses in the Financial Industry
|c Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2012
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| 300 |
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|a 38 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Finance, Public
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| 653 |
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|a Public Administration
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| 653 |
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|a Banks
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| 653 |
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|a Finance
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| 653 |
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|a Dynamic Treatment Effect Models
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| 653 |
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|a Banks and banking
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| 653 |
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|a Financial statements
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| 653 |
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|a Financial sector policy and analysis
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| 653 |
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|a Mortgages
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| 653 |
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|a Vector autoregression
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| 653 |
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|a Time-Series Models
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| 653 |
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|a Systemic risk
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| 653 |
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|a Financial risk management
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| 653 |
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|a Accounting
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| 653 |
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|a Public Sector Accounting and Audits
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| 653 |
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|a Financial Institutions and Services: General
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| 653 |
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|a Public financial management (PFM)
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| 653 |
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|a Banking
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| 653 |
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|a Financial reporting, financial statements
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| 653 |
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|a Econometrics
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| 653 |
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|a Econometrics & economic statistics
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| 653 |
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|a Multiple Variables: General
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| 653 |
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|a Government securities
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Commercial banks
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| 653 |
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|a Econometric analysis
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| 653 |
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|a Multiple or Simultaneous Equation Models
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| 653 |
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|a Financial institutions
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| 653 |
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|a General Financial Markets: Government Policy and Regulation
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Diffusion Processes
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| 653 |
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|a General Financial Markets: General (includes Measurement and Data)
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| 653 |
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|a Treasury bills and bonds
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Investments: General
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| 653 |
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|a Dynamic Quantile Regressions
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| 653 |
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|a Investment & securities
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| 653 |
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|a Finance: General
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| 653 |
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|a Financial Crises
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| 700 |
1 |
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|a Moreno, Antonio
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| 700 |
1 |
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|a Rubia, Antonio
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| 700 |
1 |
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|a Valderrama, Laura
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781475504347.001
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| 856 |
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|u https://elibrary.imf.org/view/journals/001/2012/152/001.2012.issue-152-en.xml?cid=25991-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
0 |
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|a 330
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| 520 |
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|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
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