Using large exposure data to gauge the systemic importance of SSM significant institutions

Giovanni Covi, Christoffer Kok and Barbara Meller

Macroprudential Bulletin, 2018, vol. 5

Abstract: This article presents stylised facts from the euro area network of large exposures and derives model-based interconnectedness measures of SSM significant institutions. The article has three main findings. First, the interbank network is relatively sparse and suggests a core-periphery network structure. Second, the more complex network measures on average correlate highly with the more simple size-based interconnectedness indicators, constructed following the EBA guidelines on the calibration of O-SII buffers. Third, there is nevertheless value for policymakers to take into account network-based measures in addition to the size-based interconnectedness indicators, as for some individual banks those measures can deviate considerably. JEL Classification: C63, G01, G21, G28

Keywords: contagion; interconnectedness; macroprudential policy; systemic risk (search for similar items in EconPapers)
Date: 2018-04
Note: 2330794
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbmbu:2018:0005:1

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