Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions

Chen Zhou De Nederlandsche

ISBN 10: 124945560X / ISBN 13: 9781249455608

Published by Books On Demand, Bibliogov, 2012

About this Item

Neuware - This paper considers three measures of the systemic importance of a financial institution within an interconnected financial system. The measures are applied to study the relation between the size of a financial institution and its systemic importance. Both the theoretical model and empirical analysis reveal that, when analyzing the systemic risk posed by one financial institution to the system, size should not be considered as a proxy of systemic importance. In other words, the too big to fail argument is not always valid, and measures of systemic importance should be considered. We provide the estimation methodology of systemic importance measures under the multivariate extreme value theory (EVT) framework.

Seller Inventory # 9781249455608

Bibliographic Details

• Title: Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions
• Publisher: Books On Demand, Bibliogov
• Publication Date: 2012
• Language: English
• ISBN 10: 124945560X
• ISBN 13: 9781249455608
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 246W x 189H x 3D millimeters 246 millimeters width by 189 millimeters height by 3 millimeters depth
• Weight: 113 grams

About this title

Synopsis

This paper considers three measures of the systemic importance of a financial institution within an interconnected financial system. The measures are applied to study the relation between the size of a financial institution and its systemic importance. Both the theoretical model and empirical analysis reveal that, when analyzing the systemic risk posed by one financial institution to the system, size should not be considered as a proxy of systemic importance. In other words, the "too big to fail" argument is not always valid, and measures of systemic importance should be considered. We provide the estimation methodology of systemic importance measures under the multivariate extreme value theory (EVT) framework.