Investor Presentaiton

Information Sensitivity (IS) as a Tail Risk Measure Need an economic measure that links assets (loans to firms) and liabilities (demand deposits) so as to model balance sheet dynamics Dang, Gorton and Holmstrom (2013) define IS as π L = = XH XL max[p-s(x),0]. f(x)dx where x is the asset (loans) with distribution f(x) that backs s(x) a security (liability, demand deposit) p is the price of the security or the amount invested

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