Back to the Future : Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression

We evaluate the performance of two popular systemic risk measures, CoVaR and SRISK, during eight financial panics in the era before FDIC insurance. Bank stock price and balance sheet data were not readily available for this time period. We rectify this shortcoming by constructing a novel dataset for the New York banking system before 1933. Our evaluation exercise focuses on two challenges: the ranking of systemically important financial institutions (SIFIs) and financial crisis prediction.

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Back to the Future : Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression
  • Published on 09/25/2018
  • FR
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Updated on: 03/19/2019 16:17