Munich Personal RePEc Archive

Identifying and tracking systemically important financial institutions (SIFIs) with public data

Masciantonio, Sergio (2013): Identifying and tracking systemically important financial institutions (SIFIs) with public data.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_46867.pdf

Download (273kB) | Preview

Abstract

This paper develops a methodology to identify systemically important financial institutions building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIFIs identification. This methodology is based on publicly available data, providing fully transparent results with a G-SIFIs list that helps to bridge the gap between market knowledge and supervisory decisions. Moreover the results encompass a complete ranking of the banks considered, 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 SIFIs lists. 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.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.