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systemic risk sign in to follow this
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Financial Institutions Externalities and Systemic Risk: Tales of Tail Symmetry
Year Of Publication: 2014
Month Of Publication: May
Pages: 36
Download Count: 4
View Count: 1175
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 7-31-2014
Publisher: Administrator
Summary
A bank should create as much risk and the bank is undertaken. Any unbalance in the distribution of pro?t and losses is a sign of banks failure to internalise its externalities. In this proposition we develop a theoretical background to show the importance of tail symmetry on the sustainability of the ?nancial system. We also propose a mathematical de?nition and a measure of tail imbalance based on extreme value theory. This measure could help regulators and policy makers to have an insight on the contribution of each bank to the overall risk hidden in the ?nancial system and waiting to burst in the context of a crisis.
Author(s)
ben Hadj, Saifeddine Sign in to follow this author
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