Measuring systemic importance of banks considering risk interactions: An ANOVA-like decomposition method
The systemic importance of a bank is usually measured by its effect on the banking system, conditional on the insolvency of the bank and solvency of other banks. However, banks encounter different kinds of shocks simultaneously in reality. So that, the conditional results give biased estimates of ba...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2020-03-01
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| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232019300988 |