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Measuring and testing for the systemically important financial institutions

Carlos Castro Iragorri () and Stijn Ferrari ()
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Stijn Ferrari: National Bank of Belgium

No 228, Working Paper Research from National Bank of Belgium

Abstract: This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can be classified as being systemically important on the basis of the estimated systemic risk contribution, as well as a test of dominance aimed at testing whether or not, according to Delta CoVaR, one financial institution is more systemically important than another. We provide two applications on a sample of 26 large European banks to show the importance of statistical testing when using Delta CoVaR, and more generally also other market-based systemic risk measures, in this context.

Keywords: Systemic risk; SIFIs; interconnectedness; quantile regression; stochastic dominance test (search for similar items in EconPapers)
JEL-codes: C21 C58 G32 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2012-10
New Economics Papers: this item is included in nep-ban and nep-rmg
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https://www.nbb.be/doc/oc/repec/reswpp/wp228en.pdf (application/pdf)

Related works:
Journal Article: Measuring and testing for the systemically important financial institutions (2014) Downloads
Working Paper: Measuring and testing for the systemically important financial institutions (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:201210-228

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