How Long to Read Systemic Risk and Asymmetric Responses in the Financial Industry

How Long Does it Take to Read Systemic Risk and Asymmetric Responses in the Financial Industry?

It takes the average reader and 39 minutes to read Systemic Risk and Asymmetric Responses in the Financial Industry by Mr. Germán López-Espinosa

Assuming a reading speed of 250 words per minute. Learn more

Description

To 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.

How long is Systemic Risk and Asymmetric Responses in the Financial Industry?

Systemic Risk and Asymmetric Responses in the Financial Industry by Mr. Germán López-Espinosa is 38 pages long, and a total of 9,804 words.

This makes it 13% the length of the average book. It also has 12% more words than the average book.

How Long Does it Take to Read Systemic Risk and Asymmetric Responses in the Financial Industry Aloud?

The average oral reading speed is 183 words per minute. This means it takes and 53 minutes to read Systemic Risk and Asymmetric Responses in the Financial Industry aloud.

What Reading Level is Systemic Risk and Asymmetric Responses in the Financial Industry?

Systemic Risk and Asymmetric Responses in the Financial Industry is suitable for students ages 8 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

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