A Systematic approach to identify systemically important firms
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.
|Date of creation:||Oct 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Gen. A. K. Vaidya Marg, Goregaon (E), Mumbai 400065|
Phone: (022) 840 0919/20/21
Fax: (022) 840 2752/2026
Web page: http://www.igidr.ac.in
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2014. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 134-146.
- Idier, J. & Lamé, G. & Mésonnier, J S., 2011. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Working papers 348, Banque de France.
- Sylvain Benoit & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010.
"Measuring systemic risk,"
1002, Federal Reserve Bank of Cleveland.
- 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.
- Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364 Bank for International Settlements.
- Rungporn Roengpitya & Phurichai Rungcharoenkitkul, 2010. "Measuring Systemic Risk And Financial Linkages In The Thai Banking System," Working Papers 2010-02, Economic Research Department, Bank of Thailand.
- Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:ind:igiwpp:2013-021. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamprasad M. Pujar)
If references are entirely missing, you can add them using this form.