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Identifying and Tracking Global, EU, and Eurozone Systemically Important Banks with Public Data
Applied Economics Quarterly, Vol. 61 (2015), Iss. 1 : pp. 25–64
4 Citations (CrossRef)
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Bank of Italy, DG Economic, Statistics and Research, Rome, Italy.
Cited By
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Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach
Jiang, Cheng | Sun, Qian | Ye, Tanglin | Wang, QingyunPhysica A: Statistical Mechanics and its Applications, Vol. 611 (2023), Iss. P.128446
https://doi.org/10.1016/j.physa.2023.128446 [Citations: 5] -
Systemic risk measurement: bucketing global systemically important banks
Brogi, Marina | Lagasio, Valentina | Riccetti, LucaAnnals of Finance, Vol. 17 (2021), Iss. 3 P.319
https://doi.org/10.1007/s10436-021-00391-7 [Citations: 4] -
Systemic Risk Measurement: Bucketing G-SIBs Between Literature and Supervisory View
Brogi, Marina | Lagasio, Valentina | Riccetti, LucaSSRN Electronic Journal , Vol. (2017), Iss.
https://doi.org/10.2139/ssrn.2915172 [Citations: 1] -
Systemic Risk Analysis and SIFIs Detection: A Proposal for a Complete Methodology
Riccetti, Luca
SSRN Electronic Journal , Vol. (2019), Iss.
https://doi.org/10.2139/ssrn.3415730 [Citations: 1]
Abstract
This paper develops a methodology to identify systemically important banks, building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIBs identification. This methodology is based on publicly available data, providing fully transparent results with a G-SIBs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover the results encompass a complete ranking of the banks in the sample, according to their systemic importance scores. The methodology has then been applied to EU and Eurozone samples of banks to obtain their systemic importance ranking and SIBs lists. To date, this is one of the first frameworks able to identify systemically relevant banks at the European level. A statistical analysis and some geographical and historical evidence provide further insight into the notion of systemic importance, its policy implications and the future applications of this methodology.
JEL Classification: G01, G20, G21, G28