07645oam 22016454 450 991096361170332120250426110703.09781475581201147558120397814755175691475517564(CKB)2550000000107545(EBL)1606795(SSID)ssj0000943852(PQKBManifestationID)11559060(PQKBTitleCode)TC0000943852(PQKBWorkID)10995241(PQKB)10613340(Au-PeEL)EBL1606795(CaPaEBR)ebr10579631(OCoLC)795596069(IMF)WPIEE2012152(IMF)WPIEA2012152(MiAaPQ)EBC1606795WPIEA2012152(EXLCZ)99255000000010754520020129d2012 uf 0engur|n|---|||||txtccrSystemic Risk and Asymmetric Responses in the Financial Industry /Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (39 p.)IMF Working PapersDescription based upon print version of record.9781475545777 1475545770 9781475504347 1475504349 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 assessmentFinanceAccountingimfBankingimfBanks and BankingimfBanks and bankingimfBanksimfCommercial banksimfDepository InstitutionsimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometric analysisimfEconometrics & economic statisticsimfEconometricsimfFinanceimfFinance, PublicimfFinance: GeneralimfFinancial CrisesimfFinancial Institutions and Services: GeneralimfFinancial institutionsimfFinancial reporting, financial statementsimfFinancial risk managementimfFinancial sector policy and analysisimfFinancial statementsimfGeneral Financial Markets: General (includes Measurement and Data)imfGeneral Financial Markets: Government Policy and RegulationimfGovernment securitiesimfInvestment & securitiesimfInvestments: GeneralimfMicro Finance InstitutionsimfMortgagesimfMultiple or Simultaneous Equation ModelsimfMultiple Variables: GeneralimfPublic AdministrationimfPublic financial management (PFM)imfPublic Sector Accounting and AuditsimfSystemic riskimfTime-Series ModelsimfTreasury bills and bondsimfVector autoregressionimfUnited StatesimfRisk assessment.Finance.AccountingBankingBanks and BankingBanks and bankingBanksCommercial banksDepository InstitutionsDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometric analysisEconometrics & economic statisticsEconometricsFinanceFinance, PublicFinance: GeneralFinancial CrisesFinancial Institutions and Services: GeneralFinancial institutionsFinancial reporting, financial statementsFinancial risk managementFinancial sector policy and analysisFinancial statementsGeneral Financial Markets: General (includes Measurement and Data)General Financial Markets: Government Policy and RegulationGovernment securitiesInvestment & securitiesInvestments: GeneralMicro Finance InstitutionsMortgagesMultiple or Simultaneous Equation ModelsMultiple Variables: GeneralPublic AdministrationPublic financial management (PFM)Public Sector Accounting and AuditsSystemic riskTime-Series ModelsTreasury bills and bondsVector autoregression332.10684López-Espinosa Germán1816043Moreno Antonio419397Rubia Antonio1816044Valderrama Laura1815686DcWaIMFBOOK9910963611703321Systemic Risk and Asymmetric Responses in the Financial Industry4371683UNINA