Systemic risk and asymmetric responses in the financial industry / prepared by German Lopez-Espinosa [and others].

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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Bibliographic Details
Main Author: López Espinosa, Germán (Author)
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/152.
Subjects:
Online Access:Click for online access