We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional early warning models. However, the additional predictive power remains small and it is not normally confirmed for the Asian and the 1998 crises. We conclude that it is problematic to identify a market-based measure of systemic importance that remains valid across crises with different features. The same criticism also applies to several conventional proxies of systemic importance, of which size is the most consistent performer
The financial crisis showed that some financial institu-tions have the potential to disrupt the broa...
We propose a new top-down approach to measure systemic risk in the financial system. Our framework u...
This paper aims to test the relevance of the advanced warning indicators in the prediction of system...
We analyze whether four market-based measures of the global systemic importance of financial institu...
We analyze whether four market-based measures of the global systemic importance of financial institu...
We analyze whether four market-based measures of the global systemic importance of financial institu...
In this paper, we study the determinants of the systemic importance of banks and insurers during the...
In this paper, we study the determinants of the systemic importance of banks and insurers during the...
After the financial crisis of 2007-2008, the need of reliable indicators of financial stability beca...
This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (...
As a result of the most recent global financial crisis literature has embraced size, connectedness a...
We propose a simple network–based methodology for ranking systemically important financial instituti...
In this paper, we gauge the degree of interconnectedness and quantify the linkages between global an...
Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks...
In this paper we measure systemic risk in the banking sector by taking into account relevant bank ch...
The financial crisis showed that some financial institu-tions have the potential to disrupt the broa...
We propose a new top-down approach to measure systemic risk in the financial system. Our framework u...
This paper aims to test the relevance of the advanced warning indicators in the prediction of system...
We analyze whether four market-based measures of the global systemic importance of financial institu...
We analyze whether four market-based measures of the global systemic importance of financial institu...
We analyze whether four market-based measures of the global systemic importance of financial institu...
In this paper, we study the determinants of the systemic importance of banks and insurers during the...
In this paper, we study the determinants of the systemic importance of banks and insurers during the...
After the financial crisis of 2007-2008, the need of reliable indicators of financial stability beca...
This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (...
As a result of the most recent global financial crisis literature has embraced size, connectedness a...
We propose a simple network–based methodology for ranking systemically important financial instituti...
In this paper, we gauge the degree of interconnectedness and quantify the linkages between global an...
Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks...
In this paper we measure systemic risk in the banking sector by taking into account relevant bank ch...
The financial crisis showed that some financial institu-tions have the potential to disrupt the broa...
We propose a new top-down approach to measure systemic risk in the financial system. Our framework u...
This paper aims to test the relevance of the advanced warning indicators in the prediction of system...