Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?

摘要: We analyze whether four market-based measures of the global systemic importance financial institutions offer early warning signals during three crises. The tests based on 2007–2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional models. However, additional remains small and it is not normally confirmed for Asian 1998 conclude problematic identify a valid across crises with different features. same criticism also applies several proxies importance, which size most consistent performer.