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Size is everything: explaining SIFI designations

Irresberger, Felix, Bierth, Christopher and Weiß, Gregor 2017. Size is everything: explaining SIFI designations. Review of Financial Economics 32 , pp. 7-19. 10.1016/j.rfe.2016.09.003

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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 DCoVaR as two common measures of systemic risk produce inconclusive results concerning the systemic relevance of banks and insurers during the crisis.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HG Finance
Uncontrolled Keywords: Systemic risk; Interconnectedness; Systemic relevance; Financial stability
Publisher: Elsevier
ISSN: 1058-3300
Date of Acceptance: 16 September 2016
Last Modified: 04 Jun 2017 09:26
URI: http://orca.cf.ac.uk/id/eprint/95248

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