Leverage and VAR as Measures of Bank Distress: Comment on 'Endogenous and Systemic Risk'
Bruce Mizrach
Rutgers University, Department of Economics
May 10, 2011
Abstract:
I discuss the asset pricing and policy implications of Danielsson, Shin and Zigrand, "Endogenous and Systemic Risk." I show that leverage as conventionally measured was not a reliable indicator of systemic stress and that a more detailed examination of bank balance sheets and asset holdings is required..
Number of Pages in PDF File: 17
Keywords: systemic risk, leverage, VaR, asset pricing, balance sheets
JEL Classification: G12, G21, G24
working papers series
Suggested Citation
Mizrach, Bruce, Leverage and VAR as Measures of Bank Distress: Comment on 'Endogenous and Systemic Risk' (May 10, 2011). Available at SSRN: http://ssrn.com/abstract=1837608 or http://dx.doi.org/10.2139/ssrn.1837608
