Identifying and Tracking Global, EU, and Eurozone Systemically Important Banks with Public Data

Sergio Masciantonio ()

Applied Economics Quarterly (formerly: Konjunkturpolitik), 2015, vol. 61, issue 1, 25-64

Abstract: This paper develops a methodology to identify systemically important banks, building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. This methodology is based on publicly available data, providing fully transparent results with a G-SIBs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover the results encompass a complete ranking of the banks in the sample, 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 SIBs lists. To date, this is one of the first frameworks able to identify 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: Systematically Important Banks; Bank Ranking; EU; Eurozone (search for similar items in EconPapers)
Date: 2015
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Working Paper: Identifying and tracking global, EU and Eurozone systemically important banks with public data (2013)
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