Looking at the tail: price-based measures of systemic importance
BIS Quarterly Review
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June 2013
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03 June 2013
We use tools of extreme value theory to extract information about rare events from market prices. We find that such information contributes materially to measures of banks' systemic importance. These measures exhibit strong and intuitive relationships with simple characteristics of banks' balance sheets and income statements.
JEL classification: G20, G28, C14