Identifying and Tracking Systemically Important Financial Institutions (SIFIs) with Public Data

27 Pages Posted: 8 May 2013 Last revised: 9 May 2013

Date Written: April 1, 2013

Abstract

This paper develops a methodology to identify systemically important financial institutions building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIFIs identification. This methodology is based on publicly available data, providing fully transparent results with a G-SIFIs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover the results encompass a complete ranking of the banks considered, according to their systemic importance scores. The methodology has then been applied to EU and Eurozone samples of banks to obtain their systemic importance ranking and SIFIs lists. A statistical analysis and some geographical and historical evidence provide further insight into the notion of systemic importance, its policy implications and the future applications of this methodology.

Keywords: banks, balance sheets, systemic risk, SIFIs, financial stability, regulation

JEL Classification: G01, G10, G18, G20, G21, G28

Suggested Citation

Masciantonio, Sergio, Identifying and Tracking Systemically Important Financial Institutions (SIFIs) with Public Data (April 1, 2013). Available at SSRN: https://ssrn.com/abstract=2261653 or http://dx.doi.org/10.2139/ssrn.2261653

Sergio Masciantonio (Contact Author)

European Union - European Commission ( email )

Rue de la Loi 200
Brussels, B-1049
Belgium

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