TY  - GEN
AB  - In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank ("bank tail risk") and the link of the bank to the system in financial distress ("systemic linkage"). Based on extreme value theory, we estimate a systemic risk measure that can be decomposed into two subcomponents reflecting these dimensions. Empirically, we assess the relationships of bank business models to the two dimensions of systemic risk. The observed differences in these relationships partly explain why micro? and macroprudential perspectives sometimes have different implications for banking regulation. <p> <p>Replication data for peer-reviewed article published in Journal of Applied Econometrics. Paper published online October 25, 2018.
AD  - Bank of Canada
AD  - De Nederlandsche Bank
AU  - van Oordt, Maarten
AU  - Zhou, Chen
DA  - 2019
DO  - 10.15456/jae.2022327.0708250145
DO  - DOI
ID  - 4263
LA  - eng
N2  - In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank ("bank tail risk") and the link of the bank to the system in financial distress ("systemic linkage"). Based on extreme value theory, we estimate a systemic risk measure that can be decomposed into two subcomponents reflecting these dimensions. Empirically, we assess the relationships of bank business models to the two dimensions of systemic risk. The observed differences in these relationships partly explain why micro? and macroprudential perspectives sometimes have different implications for banking regulation. <p> <p>Replication data for peer-reviewed article published in Journal of Applied Econometrics. Paper published online October 25, 2018.
PB  - ZBW - Leibniz Informationszentrum Wirtschaft
PY  - 2019
T1  - Systemic risk and bank business models (replication data)
TI  - Systemic risk and bank business models (replication data)
Y1  - 2019
ER  -