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We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the SU-normal e...

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Bibliographic Details
Published inEconomics letters Vol. 115; no. 2; p. 218
Main Authors Choi, Pilsun, Min, Insik, Park, Keehwan
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier Science Ltd 01.05.2012
Subjects
Estimation bias
Normal distribution
Regression analysis
Risk assessment
Simulation
Studies
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Summary:We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the SU-normal estimate for systemic risk. [PUBLICATION ABSTRACT]
ISSN:0165-1765
1873-7374