Tracking Banks' Systemic Importance Before and after the Crisis
34 Pages Posted: 18 Apr 2015
Date Written: January 22, 2015
We develop a methodology to identify and rank ‘systemically important financial institutions’ (SIFIs). Our approach is consistent with that followed by the Financial Stability Board but, unlike the latter, it is free of judgment and it is based entirely on publicly available data, thus filling the gap between the official views of the regulator and those that market participants form with their own information set. We apply the methodology on three samples of banks (global, EU and euro area) for the years 2007-12.
Keywords: systemic risk, too big to fail
JEL Classification: G21, G01, G18
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