Looking at the tail: price-based measures of systemic importance

We use tools of extreme value theory to extract information about rare events from market prices. We find that such information contributes materially to measures of banks' systemic importance. These measures exhibit strong and intuitive relationships with simple characteristics of banks' balance sheets and income statements.

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Year of publication:	2013
Authors:	Zhou, Chen ; Tarashev, Nikola
Published in:	BIS Quarterly Review. - Bank for International Settlements (BIS). - 2013, June
Publisher:	Bank for International Settlements (BIS)

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G20 - Financial Institutions and Services. General ; G28 - Government Policy and Regulation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010849705