Bank of Canada paper measures systemic importance of banks

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A Bank of Canada paper published on Saturday proposes a set of tools to measure the systemic importance of financial institutions.

Toni Gravelle and Fuchun Li, the paper's authors, use a multivariate extreme value theory approach to estimate a set of market-based measures on the systemic importance of financial institutions, each designed to capture certain aspects of systemic risk. They apply the measures on six large Canadian banks as the proxy for the Canadian banking sector in order to

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