Systemic risk and bank business models
将银行系统性风险分解为银行尾部风险和系统性关联两个维度，基于极端值理论估计风险度量，并分析银行商业模式与这两个维度的关系，解释微观与宏观审慎监管的差异。
Summary In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (“bank tail risk”) and the link of the bank to the system in financial distress (“systemic linkage”). Based on extreme value theory, we estimate a systemic risk measure that can be decomposed into two subcomponents reflecting these dimensions. Empirically, we assess the relationships of bank business models to the two dimensions of systemic risk. The observed differences in these relationships partly explain why micro‐ and macroprudential perspectives sometimes have different implications for banking regulation.