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Systemically Important Banks: A Permutation Test Approach

Author

Listed:
  • Lorenzo Frattarolo

    (Ca' Foscari University of Venice, Department of Economics)

  • Francesca Parpinel

    (Ca' Foscari University of Venice, Department of Economics)

  • Claudio Pizzi

    (Ca' Foscari University of Venice, Department of Economics)

Abstract

According to the definition of Financial Stability Board (FSB), Systemically Important Banks (SIBs) are the banks "whose disorderly failure, because of their size, complexity and systemic interconnectedness, would cause significant disruption to the wider financial system and economic activity". The current methodology for their determination is based on balance-sheet variables and expert judgment. We use permutation tests to investigate the relevance of equity-based systemic risk measures in the SIBs choice. Restriction of the analysis to European Banks, for which full information is available, allows understanding the importance of equity-based systemic risk measures also for size, interconnectedness, substitutability/financial Institution Infrastructure, complexity and cross-jurisdictional Activity categories.

Suggested Citation

  • Lorenzo Frattarolo & Francesca Parpinel & Claudio Pizzi, 2016. "Systemically Important Banks: A Permutation Test Approach," Working Papers 2016:28, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2016:28
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    References listed on IDEAS

    as
    1. Bongini, Paola & Nieri, Laura & Pelagatti, Matteo, 2015. "The importance of being systemically important financial institutions," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 562-574.
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    Cited by:

    1. Lorenzo Frattarolo & Francesca Parpinel & Claudio Pizzi, 2020. "Combining permutation tests to rank systemically important banks," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(3), pages 581-596, September.

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    More about this item

    Keywords

    Systemic risk; Particle Swarm Optimization; Nonparametric Combination;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • 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

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