Download This PaperLooking at the Tail: Price-Based Measures of Systemic Importance
15 Pages Posted: 28 Apr 2014
Date Written: June 2013
Abstract
We use tools of extreme value theory to extract information about rare events from market prices. We find that such information contributes materially to measures of banks’ systemic importance. These measures exhibit strong and intuitive relationships with simple characteristics of banks’ balance sheets and income statements.
JEL Classification: G20, G28, C14
Suggested Citation: Suggested Citation
Zhou, Chen and Tarashev, Nikola A., Looking at the Tail: Price-Based Measures of Systemic Importance (June 2013). BIS Quarterly Review, June 2013, Available at SSRN: https://ssrn.com/abstract=2401568
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