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Systemic importance: some simple indicators

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  • Mathias Drehmann
  • Nikola Tarashev

Abstract

Are there simple yet reliable indicators of banks' systemic importance? In addressing this question, this article explores three model-based measures of systemic importance and finds that bank size helps approximate each of them. A bank's total interbank lending and borrowing provide useful complementary information.

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Bibliographic Info

Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2011)
Issue (Month): (March)
Pages:

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Handle: RePEc:bis:bisqtr:1103e

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  1. Xin Huang & Hao Zhou & Haibin Zhu, 2010. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," BIS Working Papers 296, Bank for International Settlements.
  2. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Paper 1002, Federal Reserve Bank of Cleveland.
  3. Elsinger, Helmut & Lehar, Alfred & Summer, Martin, 2005. "Using Market Information for Banking System Risk Assessment," MPRA Paper 817, University Library of Munich, Germany.
  4. Celine Gauthier & Alfred Lehar & Moez Souissi, 2010. "Macroprudential Regulation and Systemic Capital Requirements," Working Papers 10-4, Bank of Canada.
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