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A Systematic approach to identify systemically important firms

  • Natasha Agarwal et al

    (Indira Gandhi Institute of Development Research)

This paper uses the average of the percentile ranking of three measures of systemic risk - Granger Causality, Marginal Expected Shortfall, and Conditional Value at Risk - to calculate a single systemic risk index (SRI) for a lrm. The SRI is used to identify systemically important lrms (SIFs) among the 50 largest lrms in a quarter. This has the advantage of identifying SIFs on a regular basis using readily available data. The paper uses this approach to identify SIFs by SRI each quarter from 2000 to 2012, and lnds that the cumulative risk of the SIFs tracks the changes in systemic risk in India during the 2008 crisis. The paper also lnds merit in monitoring non-lnancial lrms by their SRI, particularly when bank loan portfolios have concentrated exposures in these firms.

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File URL: http://www.igidr.ac.in/pdf/publication/WP-2013-021.pdf
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Paper provided by Indira Gandhi Institute of Development Research, Mumbai, India in its series Indira Gandhi Institute of Development Research, Mumbai Working Papers with number 2013-021.

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Length: 46 pages
Date of creation: Oct 2013
Date of revision:
Handle: RePEc:ind:igiwpp:2013-021
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  1. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  2. Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2013. "How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment," Working Paper Series 1546, European Central Bank.
  3. Acharya, Viral V & Pedersen, Lasse H & Philippon, Thomas & Richardson, Matthew P, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
  4. repec:bth:wpaper:2010-02 is not listed on IDEAS
  5. Sylvain Benoit & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
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