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On the ranking consistency of global systemic risk measures: empirical evidence

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  • Abendschein, Michael
  • Grundke, Peter

Abstract

We empirically analyze to which extent popular global systemic risk measures (SRMs) yield comparable results with respect to the systemic importance of a financial institution and, in particular, from which determinants the degree of consistency of the classification by the various SRMs depends. In this study, we investigate the rank correlations of SRMs in order to detect common drivers that might explain (in-)consistent ranking outcomes. This could allow to facilitate the interpretation of the outcome of SRMs and to increase the reliability of their usage in academic and practical applications. Our results show that rank correlations are particularly sensitive towards a bank’s leverage and towards tightening economic conditions. This finding holds across various different specifications.

Suggested Citation

  • Abendschein, Michael & Grundke, Peter, 2018. "On the ranking consistency of global systemic risk measures: empirical evidence," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181623, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc18:181623
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    Cited by:

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    More about this item

    Keywords

    systemic risk; risk rankings; financial regulation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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