Identifying and tracking global, EU and Eurozone systemically important banks with public data

Sergio Masciantonio ()

No 204, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

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 (search for similar items in EconPapers)
JEL-codes: G01 G10 G18 G20 G21 G28 (search for similar items in EconPapers)
Date: 2013-10
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-rmg
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Identifying and Tracking Global, EU, and Eurozone Systemically Important Banks with Public Data (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_204_13

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