Are banks too big to fail?
AbstractAbstract We consider three measures on the systemic importance of a financial institu- tion within a interconnected financial system. Based on the measures, we study the relation between the size of a financial institution and its systemic importance. From both theo- retical model and empirical analysis, we find that in analyzing the systemic risk posed by one financial institution to the system, size should not be considered as a proxy of systemic importance. In other words, the "too big to fail" argument is not always valid, and alter- native measures on systemic importance should be considered. We provide the estimation methodology of systemic importance measures under the multivariate Extreme Value Theory (EVT) framework.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 232.
Date of creation: Dec 2009
Date of revision:
Too big to fail; systemic risk; systemic importance; multivariate extreme value theory.;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-BAN-2010-02-05 (Banking)
- NEP-REG-2010-02-05 (Regulation)
- NEP-RMG-2010-02-05 (Risk Management)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kersten Kellermann, 2011. "Too big to fail: a thorn in the side of free markets," Empirica, Springer, vol. 38(3), pages 331-349, July.
- Kyle Moore & Chen Zhou, 2012. "Identifying systemically important financial institutions: size and other determinants," DNB Working Papers 347, Netherlands Central Bank, Research Department.
- Christian Weistroffer, 2011. "Identifying Systemically Important Financial Institutions (SIFIs)," Working Papers id:4383, eSocialSciences.
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2012.
"Financial Network Systemic Risk Contributions,"
SFB 649 Discussion Papers
SFB649DP2012-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series 2013/20, Center for Financial Studies (CFS).
- Garita, Gus, 2010. "An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"," MPRA Paper 25996, University Library of Munich, Germany.
- Georg Mainik & Eric Schaanning, 2012. "On dependence consistency of CoVaR and some other systemic risk measures," Papers 1207.3464, arXiv.org, revised Aug 2012.
- Toni Gravelle & Fuchun Li, 2011. "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Working Papers 11-19, Bank of Canada.
- Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," DOCUMENTOS DE TRABAJO 008779, UNIVERSIDAD DEL ROSARIO.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rob Vet).
If references are entirely missing, you can add them using this form.