Network, market, and book-based systemic risk rankings

Michiel van de Leur (), Andre Lucas and Norman J. Seeger

Journal of Banking & Finance, 2017, vol. 78, issue C, 84-90

Abstract: We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google’s PageRank). Using European banking data, we show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock correlations as developed in this paper. The correlation based network measures complement currently available alternative systemic risk ranking methods based on book or market values. A further analytical investigation shows that the value-added appears to be mainly attributable to pairwise cross-sectional heterogeneity rather than to more subtle network relations and feedback loops.

Keywords: Systemically important financial institutions (SIFI); European banking sector; Systemic risk ranking; Network based risk measures (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426617300341
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Network, Market, and Book-Based Systemic Risk Rankings (2016)
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:jbfina:v:78:y:2017:i:c:p:84-90

DOI: 10.1016/j.jbankfin.2017.02.003

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

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