Systemic Risk and Asymmetric Responses in the Financial Industry (Record no. 157482)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02770nam a22004214a 4500 |
| 001 - CONTROL NUMBER | |
| control field | WPIEA2012152 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IMF |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190405180215.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2012 dcu o i00 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1475504349 : |
| Terms of availability | 18.00 USD |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781475504347 |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 1018-5941 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.5089/9781475504347.001 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (IMF)WPIEA2012152 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DcWaIMF |
| Language of cataloging | eng |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | López-Espinosa, Germán. |
| 245 10 - TITLE STATEMENT | |
| Title | Systemic Risk and Asymmetric Responses in the Financial Industry |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | Germán López-Espinosa. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C. : |
| Name of publisher, distributor, etc | International Monetary Fund, |
| Date of publication, distribution, etc | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (38 p.) |
| 490 1# - SERIES STATEMENT | |
| Series statement | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 12/152 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to positive and negative shocks to the market-valued balance sheets of individual banks. For the median of our sample of U.S. banks, the relative impact on the system of a fall in individual market value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric pattern increases with bank size. The conditional tail comovement between the banking system and a top decile bank which is losing market value is 5.4 larger than the unconditional tail comovement versus only 2.2 for banks in the bottom decile. The asymmetric model also produces much better estimates and fitting, and thus improves the capacity to monitor systemic risk. Our results suggest that ignoring asymmetries in tail interdependence may lead to a severe underestimation of systemic risk in a downward market. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on print version record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bond |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Downside Risk |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial Institutions |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial System |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistics |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | United States |
| Source of heading or term | imf |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Moreno, Antonio. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Rubia, Antonio. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Valderrama, Laura. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print Version: |
| Main entry heading | López-Espinosa, Germán. |
| Title | Systemic Risk and Asymmetric Responses in the Financial Industry |
| Place, publisher, and date of publication | Washington, D.C. : International Monetary Fund, 2012. |
| International Standard Book Number | 9781475504347 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 12/152 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.imf.org/view/IMF001/12879-9781475504347/12879-9781475504347/12879-9781475504347.xml">http://elibrary.imf.org/view/IMF001/12879-9781475504347/12879-9781475504347/12879-9781475504347.xml</a> |
| Public note | IMF e-Library |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://www.imfbookstore.org/IMFORG/9781475504347">http://www.imfbookstore.org/IMFORG/9781475504347</a> |
| Public note | IMF Book Store |
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