Identifying and Tracking Global, EU and Eurozone Systemically Important Banks with Public Data

33 Pages Posted: 15 Mar 2014

Date Written: October 25, 2013

Abstract

This paper develops a methodology for identifying systemically important financial institutions based on that developed by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. The methodology uses publicly available data to provide fully transparent results with a G-SIBs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover, the results include a complete ranking of the banks in the sample, according to their systemic importance scores. The methodology is then applied to EU and Eurozone samples of banks to obtain their systemic importance ranking and SIFI lists. This is one of the first methodologies capable of identifying systemically relevant banks at the European level. 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 Global, EU and Eurozone Systemically Important Banks with Public Data (October 25, 2013). Bank of Italy Occasional Paper No. 204, Available at SSRN: https://ssrn.com/abstract=2409053 or http://dx.doi.org/10.2139/ssrn.2409053

Sergio Masciantonio (Contact Author)

European Union - European Commission ( email )

Rue de la Loi 200
Brussels, B-1049
Belgium

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