Systemic risk and asymmetric responses in the financial industry by Germán López-Espinosa, Antonio Moreno, Antonio Rubia and Laura Valderrama published by IMF. “This paper proposes an extention of the so-called CoVaR measure that captures the asymmetric response of the banking system to positive and negative shocks to the market-valued balance sheets of individual banks. Our results suggest that ignoring asymmetries in tail interdependence may lead to a severe underestimation of systemic risk in a downward market.”
