Leverage and VAR as Measures of Bank Distress: Comment on 'Endogenous and Systemic Risk'
Rutgers University, Department of Economics
May 10, 2011
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, G24working papers series
Date posted: May 12, 2011
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