Tracking Banks' Systemic Importance Before and after the Crisis

34 Pages Posted: 18 Apr 2015

Date Written: January 22, 2015

Abstract

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

Suggested Citation

Alessandri, Piergiorgio and Masciantonio, Sergio and Zaghini, Andrea, Tracking Banks' Systemic Importance Before and after the Crisis (January 22, 2015). Bank of Italy Occasional Paper No. 259, Available at SSRN: https://ssrn.com/abstract=2595151 or http://dx.doi.org/10.2139/ssrn.2595151

Piergiorgio Alessandri

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Sergio Masciantonio

European Union - European Commission ( email )

Rue de la Loi 200
Brussels, B-1049
Belgium

Andrea Zaghini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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