Systemic risk ranking of US financial institutions
International Journal of Management and Network Economics, 2017, vol. 4, issue 1, 1-41
The purpose of this paper is to measure systemic risk of US financial institutions during and following the period of the subprime crisis. So, we estimated the systemic risk of a sample composed by 90 US financial institutions during the period from 2 January 2007 to 31 December 2014. We employ the SRISK as a measure of systemic risk. We estimate the systemic risk for each year. Based on the SRISK estimated, we try to present a classification of US financial institutions and we present the decomposition of systemic risk. The empirical results found that the total systemic risk supported by the US financial institutions is very high. In addition, the contribution of each institution in the risk of the financial system in the USA is very important. After the decomposition of systemic risk, we show that the institutions that take on more debt, contribute positively and highly to systemic risk.
Keywords: systemic risk; SRISK; risk management; US financial institutions; DCC-GARCH. (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmnec:v:4:y:2017:i:1:p:1-41
Access Statistics for this article
More articles in International Journal of Management and Network Economics from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().