LEADER 07460oam 22015614 450 001 9910779500503321 005 20230802005541.0 010 $a1-4755-8120-3 010 $a1-4755-1756-4 035 $a(CKB)2550000000107545 035 $a(EBL)1606795 035 $a(SSID)ssj0000943852 035 $a(PQKBManifestationID)11559060 035 $a(PQKBTitleCode)TC0000943852 035 $a(PQKBWorkID)10995241 035 $a(PQKB)10613340 035 $a(MiAaPQ)EBC1606795 035 $a(Au-PeEL)EBL1606795 035 $a(CaPaEBR)ebr10579631 035 $a(OCoLC)795596069 035 $a(IMF)WPIEE2012152 035 $a(IMF)WPIEA2012152 035 $a(EXLCZ)992550000000107545 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSystemic Risk and Asymmetric Responses in the Financial Industry /$fGermán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (39 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4755-4577-0 311 $a1-4755-0434-9 320 $aIncludes bibliographical references. 327 $aCover; 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; Tables 327 $a1. 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; References 330 3 $aTo date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to positive and negative shocks to the market-valued balance sheets of individual banks. For the median of our sample of U.S. banks, the relative impact on the system of a fall in individual market value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric pattern increases with bank size. The conditional tail comovement between the banking system and a top decile bank which is losing market value is 5.4 larger than the unconditional tail comovement versus only 2.2 for banks in the bottom decile. The asymmetric model also produces much better estimates and fitting, and thus improves the capacity to monitor systemic risk. Our results suggest that ignoring asymmetries in tail interdependence may lead to a severe underestimation of systemic risk in a downward market. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/152 606 $aRisk assessment 606 $aFinance 606 $aBanks and Banking$2imf 606 $aEconometrics$2imf 606 $aFinance: General$2imf 606 $aInvestments: General$2imf 606 $aAccounting$2imf 606 $aMultiple or Simultaneous Equation Models$2imf 606 $aMultiple Variables: General$2imf 606 $aFinancial Crises$2imf 606 $aFinancial Institutions and Services: General$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aPublic Administration$2imf 606 $aPublic Sector Accounting and Audits$2imf 606 $aBanking$2imf 606 $aFinance$2imf 606 $aInvestment & securities$2imf 606 $aEconometrics & economic statistics$2imf 606 $aFinancial reporting, financial statements$2imf 606 $aSystemic risk$2imf 606 $aCommercial banks$2imf 606 $aTreasury bills and bonds$2imf 606 $aVector autoregression$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aFinancial institutions$2imf 606 $aEconometric analysis$2imf 606 $aFinancial statements$2imf 606 $aPublic financial management (PFM)$2imf 606 $aBanks and banking$2imf 606 $aFinancial risk management$2imf 606 $aGovernment securities$2imf 606 $aFinance, Public$2imf 607 $aUnited States$2imf 615 0$aRisk assessment. 615 0$aFinance. 615 7$aBanks and Banking 615 7$aEconometrics 615 7$aFinance: General 615 7$aInvestments: General 615 7$aAccounting 615 7$aMultiple or Simultaneous Equation Models 615 7$aMultiple Variables: General 615 7$aFinancial Crises 615 7$aFinancial Institutions and Services: General 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aPublic Administration 615 7$aPublic Sector Accounting and Audits 615 7$aBanking 615 7$aFinance 615 7$aInvestment & securities 615 7$aEconometrics & economic statistics 615 7$aFinancial reporting, financial statements 615 7$aSystemic risk 615 7$aCommercial banks 615 7$aTreasury bills and bonds 615 7$aVector autoregression 615 7$aFinancial sector policy and analysis 615 7$aFinancial institutions 615 7$aEconometric analysis 615 7$aFinancial statements 615 7$aPublic financial management (PFM) 615 7$aBanks and banking 615 7$aFinancial risk management 615 7$aGovernment securities 615 7$aFinance, Public 700 $aLópez-Espinosa$b Germán$01481160 701 $aRubia$b Antonio$01481161 701 $aValderrama$b Laura$01481162 701 $aMoreno$b Antonio$0419397 801 0$bDcWaIMF 906 $aBOOK 912 $a9910779500503321 996 $aSystemic Risk and Asymmetric Responses in the Financial Industry$93698041 997 $aUNINA