Irresberger, F, Bierth, C and Weiß, GNF (2017) Size is everything: Explaining SIFI designations. Review of Financial Economics, 32. pp. 7-19. ISSN 1058-3300
Abstract
In this paper, we study the determinants of the systemic importance of banks and insurers during the financial crisis. We investigate the methodology of regulators to identify global systemically important financial institutions and find that firm size is the only significant predictor of the decision of regulators to designate a financial institution as systemically important. Further, using a cross-sectional quantile regression approach, we find that Marginal Expected Shortfall and ΔCoVaR as two common measures of systemic risk produce inconclusive results concerning the systemic relevance of banks and insurers during the crisis.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 Elsevier Inc. This is an author produced version of a paper published in Review of Financial Economics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Systemic risk; Interconnectedness; Systemic relevance; Financial stability |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 04 Sep 2017 10:35 |
Last Modified: | 23 Sep 2018 00:38 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.rfe.2016.09.003 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:120779 |