Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?
(2015)
Journal Article
Zhang, Q., Vallascas, F., Keasey, K., & Cai, C. (2015). Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?. Journal of Money, Credit and Banking, 47(7), 1403-1442. https://doi.org/10.1111/jmcb.12249
We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consisten... Read More about Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?.