Size is everything: Explaining SIFI designations

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• 作者：Felix Irresberger^a ; ^{irresbergerf@cardiff.ac.uk} ; Christopher Bierth^b ; ^{christopher.bierth@tu-dortmund.de} ; Gregor N.F. Weiß ; ^c ; ^{weiss@wifa.uni-leipzig.de}
• 关键词：G01 ; G20 ; G28
• 刊名：Review of Financial Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：32
• 期：Complete
• 页码：7-19
• 全文大小：345 K
• 卷排序：32

文摘

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.