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

Chen Zhou () and Nikola Tarashev ()

BIS Quarterly Review, 2013

Abstract: 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.

JEL-codes: C14 G20 G28 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:1306g

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