Assessing the systemic footprint of euro area banks

Michał Adam, Paul Bochmann, Maciej Grodzicki, Luca Mingarelli, Mattia Montagna, Rodriguez d’Acri, Costanza and Martina Spaggiari

Financial Stability Review, 2019, vol. 2

Abstract: This special feature discusses several ways in which the measurement of banks’ systemic footprint can be complemented with new indicators. The international approach is largely mechanical, but is intended to be complemented by expert judgement. The proposed additional systemic footprint measures may help macroprudential authorities in exercising that judgement. Using loan-level data matched with individual corporate balance sheet information allows macroprudential authorities to gain a better understanding of how a bank’s failure may affect employment and economic activity. Similar data, used in a model of network contagion, help assess the impact of a bank’s failure on the rest of the system. While the measures proposed in this special feature are not embedded in O-SII or G-SII scores, some evidence suggests that the concepts discussed have informed decisions of macroprudential authorities.

Date: 2019-11
Note: 2285252
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:fsrart:2019:0002:2

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