Measuring systemic importance of financial institutions: An extreme value theory approach

Research English OPEN
Gravelle, Toni; Li, Fuchun;
  • Publisher: Bank of Canada Ottawa
  • Subject: C14 | C58 | G21 | G32 | Econometric and statistical methods | Financial Institutions | Financial stability | Financial system regulation and policies
    • ddc: ddc:330

In this paper, we define a financial institution's contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institutio... View more
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