Size is everything: Explaining SIFI designations
Felix Irresberger,
Christopher Bierth and
Gregor N.F. Weiß
Review of Financial Economics, 2017, vol. 32, issue C, 7-19
Abstract:
In this paper, we study the determinants of the systemic importance of banks and insurers during the financial crisis. We investigate the methodology of regulators to identify global systemically important financial institutions and find that firm size is the only significant predictor of the decision of regulators to designate a financial institution as systemically important. Further, using a cross-sectional quantile regression approach, we find that Marginal Expected Shortfall and ΔCoVaR as two common measures of systemic risk produce inconclusive results concerning the systemic relevance of banks and insurers during the crisis.
Keywords: Systemic risk; Interconnectedness; Systemic relevance; Financial stability (search for similar items in EconPapers)
JEL-codes: G01 G20 G28 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:32:y:2017:i:c:p:7-19
DOI: 10.1016/j.rfe.2016.09.003
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