Financial contagion among the GSIBs and regulatory interventions

Jennifer Lai and Paul D. McNelis

Journal of Financial Stability, 2024, vol. 72, issue C

Abstract: This paper compares three methods for assessing the contagion of risk among ten Globally Significant International Banks, known as GSIBs, listed on the New York Stock Exchange with daily and weekly data sets from 2007 to 2020, based on Machine Learning and Network Analysis. In particular we identify the banks which are the largest net sources or transmitters of risk, and net receptors of risk. We also examine the response of regulatory actions, in the form of fines and BIS Bin Classification for capital adequacy.

Keywords: Contagion; Forecast-error Variance Decomposition; Credit Default Swap Premia; ΔConditional Value at Risk; Elastic Net estimation; Cross Validation (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000378

DOI: 10.1016/j.jfs.2024.101252

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