Tracking banks' systemic importance before and after the crisis

Piergiorgio Alessandri, Sergio Masciantonio () and Andrea Zaghini

No 259, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

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 (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Date: 2015-01
New Economics Papers: this item is included in nep-ban, nep-eec, nep-mfd and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.bancaditalia.it/pubblicazioni/qef/2015-0259/QEF_259.pdf (application/pdf)

Related works:
Journal Article: Tracking Banks’ Systemic Importance Before and After the Crisis (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_259_15

Access Statistics for this paper

More papers in Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().