EconPapers    
Economics at your fingertips  
 

The information in systemic risk rankings

Federico Calogero Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas

Journal of Empirical Finance, 2016, vol. 38, issue PA, 461-475

Abstract: We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that have been proposed recently. We use a sample of 113 listed financial sector firms in the European Union over the period 2002–2013. The implied ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover among the top ranked institutions. We also find that price-based rankings and fundamentals-based rankings deviated substantially and for a prolonged time in the period leading up to the financial crisis. We test the adequacy of our newly pooled systemic risk ranking by relating it to credit default swap premia.

Keywords: Systemic risk contribution; Risk rankings; Forecast combination; Financial regulation; Banking supervision (search for similar items in EconPapers)
JEL-codes: C13 C32 C53 E17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539816000037
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The information in systemic risk rankings (2016) Downloads
Working Paper: The Information in Systemic Risk Rankings (2015) Downloads
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:eee:empfin:v:38:y:2016:i:pa:p:461-475

DOI: 10.1016/j.jempfin.2016.01.002

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-31
Handle: RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475