Measuring systemic importance of financial institutions: An extreme value theory approach

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• 作者：Toni Gravelle ; Fuchun Li ; ^{fuchunli@bank-banque-canada.ca}
• 关键词：Systemic risk ; Systemic importance of Financial Institutions ; Extreme value theory approach
• 刊名：Journal of Banking and Finance
• 出版年：2013
• 出版时间：July, 2013
• 年：2013
• 卷：37
• 期：7
• 页码：2196-2209
• 全文大小：381 K

文摘

This paper proposes a set of market-based measures on the systemic importance of a financial institution or a group of financial institutions, each designed to capture different aspects of systemic importance of financial institutions. Multivariate extreme value theory approach is used to estimate these measures. Using six big Canadian banks as the proxy for Canadian banking sector, we apply these measures to identify systemically important banks in Canadian banking sector and major risk contributors from international financial institutions to Canadian banking sector. The empirical evidence reveals that (i) the top three banks, RBC Financial Group, TD Bank Financial Group, and Scotiabank, are more systemically important than other banks, while we also find that the size of a financial institution should not be considered as a proxy of systemic importance; (ii) compared to the European and Asian banks, the crashes of the U.S. banks, on average, are the most damaging to Canadian banking sector, while the risk contribution to the Canadian banking sector from Asian banks is quite lower than that from banks in the U.S. and euro area; (iii) the risk contribution to Canadian banking sector exhibits ¡°home bias¡±, that is, cross-country risk contribution tends to be smaller than domestic risk contribution.