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Size is everything: Explaining SIFI designations

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  • Irresberger, Felix
  • Bierth, Christopher
  • Weiß, Gregor N.F.

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

Suggested Citation

  • Irresberger, Felix & Bierth, Christopher & Weiß, Gregor N.F., 2017. "Size is everything: Explaining SIFI designations," Review of Financial Economics, Elsevier, vol. 32(C), pages 7-19.
    • Handle: RePEc:eee:revfin:v:32:y:2017:i:c:p:7-19
    DOI: 10.1016/j.rfe.2016.09.003
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    More about this item

    Keywords

    Systemic risk; Interconnectedness; Systemic relevance; Financial stability;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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