The Relationship between Asset Price Bubbles and Systemic Risk at Bank-Level
Channel: Latest Thinking
Date: 2020-01-09

For more Science Videos: https://lt.org/
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Why do some financial bubbles lead to financial crises while others do not? In this video, ISABEL SCHNABEL examines the role that individual financial institutions play in the relationship between asset price bubbles and systemic risk. 
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Employing the BSADF test to identify asset bubbles and ΔCoVaR (the Delta Conditional Value-at-Risk) to measure systemic risk at the individual bank level, Schnabel highlights a clear relationship between bank size and systemic risk. 
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Suggesting that regulatory intervention might be better directed at institutions bearing higher risks than at the system in its entirety, this research makes an important contribution both to our understanding of financial crises and our ability to prevent them going forward.

Find out more about Isabel Schnabel:
https://www.finance.uni-bonn.de/members/schnabel/


This LT Publication is divided into the following chapters:

0:00 Question
0:45 Method
1:42 Findings
2:50 Relevance
3:49 Outlook