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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: banks, balance sheets, systemic risk, SIFIs, financial stability, regulation
• Subjects: C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation; G - Financial Economics > G2 - Financial Institutions and Services > G20 - General; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation

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