Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions - Couverture souple

De Nederlandsche, Chen Zhou

 
9781249455608: Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions
Couverture souple
ISBN 10 : 124945560X ISBN 13 : 9781249455608
Editeur : Bibliogov, 2012

Synopsis

This paper considers three measures of the systemic importance of a financial institution within an interconnected financial system. The measures are applied to study the relation between the size of a financial institution and its systemic importance. Both the theoretical model and empirical analysis reveal that, when analyzing the systemic risk posed by one financial institution to the system, size should not be considered as a proxy of systemic importance. In other words, the "too big to fail" argument is not always valid, and measures of systemic importance should be considered. We provide the estimation methodology of systemic importance measures under the multivariate extreme value theory (EVT) framework.

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Éditeur
Bibliogov
Date d'édition
2012
Langue
anglais
ISBN 10 
124945560X
ISBN 13 
9781249455608
Reliure
Broché
Nombre de pages
50
Coordonnées du fabricant
non disponible
Personne responsable
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