Looking at the Tail: Price-Based Measures of Systemic Importance

15 Pages Posted: 28 Apr 2014

See all articles by Chen Zhou

Chen Zhou

De Nederlandsche Bank; Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Nikola A. Tarashev

Bank for International Settlements (BIS) - Monetary and Economic Department

Date Written: June 2013

Abstract

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

Suggested Citation

Zhou, Chen and Tarashev, Nikola A., Looking at the Tail: Price-Based Measures of Systemic Importance (June 2013). BIS Quarterly Review, June 2013, Available at SSRN: https://ssrn.com/abstract=2401568

Chen Zhou (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Nikola A. Tarashev

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

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