Measuring systemic risk contribution: The leave-one-out z-score method

Xiping Li, David Tripe, Chris Malone and David Smith

Finance Research Letters, 2020, vol. 36, issue C

Abstract: We propose a new systemic risk measure based on the z-score, which defines a leave-one-out (LOO) contribution to systemic risk. The LOO z-score measure quantifies the systemic risk contribution of individual banks by the difference between the joint risk-taking of a banking system and the risk-taking of the same system when excluding a bank. The accounting-based LOO z-score measure can be used as a complement to market-based systemic risk measures, and it can also assess systemic risk contribution for unlisted banks. Empirical results show that the LOO z-score measure can identify the four largest New Zealand banks as systemically important.

Keywords: Systemic risk contribution; Leave-one-out; Z-score (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319303149
Full text for ScienceDirect subscribers only

Related works:
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:finlet:v:36:y:2020:i:c:s1544612319303149

DOI: 10.1016/j.frl.2019.101316

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().