Systemically Important Banks: A Permutation Test Approach

Lorenzo Frattarolo (), Francesca Parpinel () and Claudio Pizzi ()
Additional contact information
Lorenzo Frattarolo: Ca' Foscari University of Venice, Department of Economics
Francesca Parpinel: Ca' Foscari University of Venice, Department of Economics

No 2016:28, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: According to the definition of Financial Stability Board (FSB), Systemically Important Banks (SIBs) are the banks "whose disorderly failure, because of their size, complexity and systemic interconnectedness, would cause significant disruption to the wider financial system and economic activity". The current methodology for their determination is based on balance-sheet variables and expert judgment. We use permutation tests to investigate the relevance of equity-based systemic risk measures in the SIBs choice. Restriction of the analysis to European Banks, for which full information is available, allows understanding the importance of equity-based systemic risk measures also for size, interconnectedness, substitutability/financial Institution Infrastructure, complexity and cross-jurisdictional Activity categories.

Keywords: Systemic risk; Particle Swarm Optimization; Nonparametric Combination (search for similar items in EconPapers)
JEL-codes: C14 C61 C63 G21 G28 (search for similar items in EconPapers)
Pages: 18
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.unive.it/web/fileadmin/user_upload/dip ... el_pizzi_28_2016.pdf First version, anno (application/pdf)

Related works:
Journal Article: SYSTEMICALLY IMPORTANT BANKS:A PERMUTATION TEST APPROACH (2016)
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:ven:wpaper:2016:28

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Bibliographic data for series maintained by Sassano Sonia ().