A Systematic approach to identify systemically important firms

Natasha Agarwal et al
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Natasha Agarwal et al: Indira Gandhi Institute of Development Research
Authors registered in the RePEc Author Service: Natasha Agarwal ()

Indira Gandhi Institute of Development Research, Mumbai Working Papers from Indira Gandhi Institute of Development Research, Mumbai, India

Abstract: This paper uses the average of the percentile ranking of three measures of systemic risk - Granger Causality, Marginal Expected Shortfall, and Conditional Value at Risk - to calculate a single systemic risk index (SRI) for a lrm. The SRI is used to identify systemically important lrms (SIFs) among the 50 largest lrms in a quarter. This has the advantage of identifying SIFs on a regular basis using readily available data. The paper uses this approach to identify SIFs by SRI each quarter from 2000 to 2012, and lnds that the cumulative risk of the SIFs tracks the changes in systemic risk in India during the 2008 crisis. The paper also lnds merit in monitoring non-lnancial lrms by their SRI, particularly when bank loan portfolios have concentrated exposures in these firms.

Keywords: Systemic Risk Measures; Systemically Important Firms (search for similar items in EconPapers)
JEL-codes: C13 G12 G29 G31 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2013-10
New Economics Papers: this item is included in nep-cba and nep-rmg
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