Series: IMF Working Papers
Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 June 2012
Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability
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 Co...