Identifying, ranking and tracking systemically important financial institutions (SIFIs), from a global, EU and Eurozone perspective

Sergio Masciantonio ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper develops a methodology to identify systemically important financial institutions building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIFIs identification. This methodology is based on publicly available data, providing fully transparent results with a G-SIFIs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover the results encompass a complete ranking of the banks considered, according to their systemic importance scores. The methodology has then been applied to EU and Eurozone samples of banks to obtain their systemic importance ranking and SIFIs lists. 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: C81 G01 G10 G18 G20 G21 G28 (search for similar items in EconPapers)
Date: 2013-04-01
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/46788/1/MPRA_paper_46788.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/46867/1/MPRA_paper_46867.pdf revised version (application/pdf)

Related works:
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:pra:mprapa:46788

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().