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|
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- 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.
- Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, "undated". "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
- Rungporn Roengpitya & Phurichai Rungcharoenkitkul, 2010. "Measuring Systemic Risk And Financial Linkages In The Thai Banking System," Working Papers 2010-02, Monetary Policy Group, Bank of Thailand. Full references (including those not matched with items on IDEAS)
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