07460oam 22015614 450 991077950050332120230802005541.01-4755-8120-31-4755-1756-4(CKB)2550000000107545(EBL)1606795(SSID)ssj0000943852(PQKBManifestationID)11559060(PQKBTitleCode)TC0000943852(PQKBWorkID)10995241(PQKB)10613340(MiAaPQ)EBC1606795(Au-PeEL)EBL1606795(CaPaEBR)ebr10579631(OCoLC)795596069(IMF)WPIEE2012152(IMF)WPIEA2012152(EXLCZ)99255000000010754520020129d2012 uf 0engur|n|---|||||txtccrSystemic Risk and Asymmetric Responses in the Financial Industry /Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio MorenoWashington, D.C. :International Monetary Fund,2012.1 online resource (39 p.)IMF Working PapersDescription based upon print version of record.1-4755-4577-0 1-4755-0434-9 Includes bibliographical references.Cover; Contents; I. Introduction; II. Modeling Systemic Risk: CoVaR; III. Asymmetric CoVaR; A. Estimation and Inference; IV. Data; V. Downside Comovement in the U.S. Banking Industry; A. Main Empirical Results; B. Discussion; C. Robustness Checks; Bank holding companies and commercial banks; Nonlinear models; Returns of different representative portfolios and other considerations; VI. Concluding Remarks; Figures; 1. Comparison of median estimates from the symmetric and asymmetric CoVaR models; 2. Cross-sectional median estimates of the decile-based coefficients; Tables1. Sample descriptives for the total and the filtered samples2. Descriptive statistics for economic and financial state variables; 3. Median estimates for the symmetric and asymmetric CoVaR; 4. Estimates across size-sorted deciles for the symmetric and asymmetric CoVaR; 5. Estimates across liabilities-sorted deciles for the symmetric and asymmetric CoVaR; 6. Estimates across BHCs and CBs for the symmetric and asymmetric CoVaR; ReferencesTo 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.IMF Working Papers; Working Paper ;No. 2012/152Risk assessmentFinanceBanks and BankingimfEconometricsimfFinance: GeneralimfInvestments: GeneralimfAccountingimfMultiple or Simultaneous Equation ModelsimfMultiple Variables: GeneralimfFinancial CrisesimfFinancial Institutions and Services: GeneralimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfGeneral Financial Markets: Government Policy and RegulationimfGeneral Financial Markets: General (includes Measurement and Data)imfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfPublic AdministrationimfPublic Sector Accounting and AuditsimfBankingimfFinanceimfInvestment & securitiesimfEconometrics & economic statisticsimfFinancial reporting, financial statementsimfSystemic riskimfCommercial banksimfTreasury bills and bondsimfVector autoregressionimfFinancial sector policy and analysisimfFinancial institutionsimfEconometric analysisimfFinancial statementsimfPublic financial management (PFM)imfBanks and bankingimfFinancial risk managementimfGovernment securitiesimfFinance, PublicimfUnited StatesimfRisk assessment.Finance.Banks and BankingEconometricsFinance: GeneralInvestments: GeneralAccountingMultiple or Simultaneous Equation ModelsMultiple Variables: GeneralFinancial CrisesFinancial Institutions and Services: GeneralBanksDepository InstitutionsMicro Finance InstitutionsMortgagesGeneral Financial Markets: Government Policy and RegulationGeneral Financial Markets: General (includes Measurement and Data)Time-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesPublic AdministrationPublic Sector Accounting and AuditsBankingFinanceInvestment & securitiesEconometrics & economic statisticsFinancial reporting, financial statementsSystemic riskCommercial banksTreasury bills and bondsVector autoregressionFinancial sector policy and analysisFinancial institutionsEconometric analysisFinancial statementsPublic financial management (PFM)Banks and bankingFinancial risk managementGovernment securitiesFinance, PublicLópez-Espinosa Germán1481160Rubia Antonio1481161Valderrama Laura1481162Moreno Antonio419397DcWaIMFBOOK9910779500503321Systemic Risk and Asymmetric Responses in the Financial Industry3698041UNINA