000004263 001__ 4263
000004263 005__ 20250303150307.0
000004263 0247_ $$a10.15456/jae.2022327.0708250145$$2DOI
000004263 041__ $$aeng
000004263 245__ $$aSystemic risk and bank business models (replication data)
000004263 251__ $$a1
000004263 260__ $$bZBW - Leibniz Informationszentrum Wirtschaft
000004263 269__ $$a2019
000004263 336__ $$aDataset
000004263 506__ $$aFiles may be downloaded from digital repository linked in the DOI field
000004263 520__ $$aIn 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.$$7Abstract
000004263 540__ $$aCreative Commons Attribution 4.0 International$$uhttps://creativecommons.org/licenses/by/4.0/legalcode$$fCC-BY-4.0
000004263 7001_ $$avan Oordt, Maarten$$7Personal$$uBank of Canada$$3https://ror.org/05cc98565$$5ROR
000004263 7001_ $$aZhou, Chen$$7Personal$$uDe Nederlandsche Bank
000004263 791__ $$aJournalArticle$$eIsSupplementTo$$iReproducibility package is associated with peer-reviewed article$$w10.1002/jae.2666$$c2019$$dJournal of Applied Econometrics (Wiley Blackwell)$$tSystemic risk and bank business models$$2DOI$$j34$$k3$$q365$$o384
000004263 791__ $$aText$$eIsSupplementTo$$iAssociated article is published as De Nederlandsche Bank Working Paper$$w10.2139/ssrn.2509314$$c2014$$dDe Nederlandsche Bank$$tSystemic Risk and Bank Business Models$$2DOI$$jWorking Paper$$k442
000004263 8301_ $$aReproducibility Package
000004263 8301_ $$aEnsemble de données pour la reproductibilité des résultats de recherche
000004263 909CO $$ooai:www.oar-rao.bank-banque-canada.ca:4263$$pbibliographic
000004263 937__ $$avan Oordt, M. and C. Zhou$$b2014$$cSystemic Risk and Bank Business Models$$dJournal of Applied Econometrics$$e34$$f3$$ghttps://doi.org/10.1002/jae.2666
000004263 980__ $$aStaff Research
000004263 980__ $$aRDM
000004263 980__ $$aResearch Reproducibility Packages
000004263 991__ $$aPublic