Tracking banks' systemic importance before and after the crisis
Sergio Masciantonio () and
Andrea Zaghini ()
No 259, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area
We develop a methodology to identify and rank ‘systemically important financial institutions’ (SIFIs). Our approach is consistent with that followed by the Financial Stability Board but, unlike the latter, it is free of judgment and it is based entirely on publicly available data, thus filling the gap between the official views of the regulator and those that market participants form with their own information set. We apply the methodology on three samples of banks (global, EU and euro area) for the years 2007-12.
Keywords: systemic risk; too big to fail (search for similar items in EconPapers)
JEL-codes: G21 G01 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-eec, nep-mfd and nep-rmg
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Journal Article: Tracking Banks’ Systemic Importance Before and After the Crisis (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_259_15
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