Ranking Systemically Important Financial Institutions

Ranking Systemically Important Financial Institutions

We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the nodes is the correlation between these shocks. Daily dynamic centrality measures allow us to rank firms in t...

Identifying Global Systemically Important Financial Institutions

A key element of the G20 response to the global financial crisis has been to develop policies to address the ‘too-big-to-fail’ problem posed by systemically important financial institutions (SiFis). the first step is to identify such entities. to that end, there has been extensive work undertaken in recent years, especially at the global level in view of the cross-country impact of large intern...

The Intrafirm Complexity of Systemically Important Financial Institutions

In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 “systemically important financial institutions” (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global economy and is based on “their size, complexity, and systemic interconnectedness”. ...

Finding Systemically Important Financial Institutions around the Global Credit Crisis: Evidence from Credit Default Swaps

With an international dataset of credit default spreads as a credit risk measure, we propose a novel empirical framework to identify the structure of credit risk network across major financial institutions around the recent 2007-2008 global credit crisis. The findings directly shed light on credit risk transmission in a financial network and help find systemically important financial institutio...

The PRA’s approach to identifying other systemically important institutions (O-SIIs)