G2 - Financial Institutions and Services - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:39:48+00:00Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
https://www.bankofcanada.ca/2011/09/working-paper-2011-19/
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.2011-09-30T09:04:00+00:00enMeasuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach2011-09-30Econometric and statistical methodsFinancial institutionsFinancial stabilityFinancial system regulation and policiesWorking Paper 2011-19https://www.bankofcanada.ca/wp-content/uploads/2011/09/wp2011-19.pdfMeasuring Systemic Importance of Financial Institutions: An Extreme Value Theory ApproachToni GravelleFuchun LiSeptember 2011CC1C14C5C58GG2G21G3G32