Huang, Xin; Zhou, Hao; Zhu, Haibin - Federal Reserve Board (Board of Governors of the … - 2011
We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess … individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 … bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator …