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Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia

Author

Listed:
  • Maiya Anokhina

    (National Research University Higher School of Economics, Moscow)

  • Henry Penikas

    (National Research University Higher School of Economics, Moscow)

  • Victor Petrov

    (National Research University Higher School of Economics, Moscow)

Abstract

The increased role of financial institutions in the economy leads to a need to determine those that are systemically important. The bankruptcy of such institutions creates negative effects for the economy on the global scale. The aim of this article is to identify important financial coefficients that can be used in the methodology of identification of G-SIB and G-SII. Models of binary choice and models of ordered choice are used in this article, several models are highly predictive. Besides this paper has revealed several financial coefficients, that helped to find the probabilities of G-SIF for Russian banks and insurance companies.

Suggested Citation

  • Maiya Anokhina & Henry Penikas & Victor Petrov, 2014. "Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia," DEM Working Papers Series 085, University of Pavia, Department of Economics and Management.
    • Handle: RePEc:pav:demwpp:085
    as

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    File URL: http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0085.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Systemic importance; Basel committee; probability of default; financial coefficients; models of ordered choice; models of binary choice; global systemically important banks (G-SIB); insurance company.;
    All these keywords.

    JEL classification:

    • C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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