 Systemic-systematic risk in financial system: A dynamic ranking based on expectilesLaura Garcia-Jorcano and Lidia Sanchis-Marco International Review of Economics & Finance, 2021, vol. 75, issue C, 330-365 Abstract: We provide an international comparison of rankings for systematic and systemic risk in the financial system and examine whether both types of risk co-exist. The rankings are based on the information provided by a coherent downside risk measure, the expected shortfall (ES), which we compute from expectiles. Using rolling windows, we obtain dynamic rankings for different banks as well as for financial services and insurance firms from different international regions using principal components analysis (PCA). The main evidence for ES5% indicates that banks from Asia are the most systematic and insurance groups from Europe are the most systemic during a crisis period. Our results have implications for supervisors regarding the regulation of financial firms, as well as for investors regarding the incorporation of diversifiable and non-diversifiable risks in their portfolios. Keywords: Expectiles; Expected shortfall; Systematic risk; Systemic risk (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365 DOI: 10.1016/j.iref.2021.04.001 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.