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Size is everything: Explaining SIFI designations

Irresberger, Felix; Bierth, Christopher; Weiß, Gregor N.F.

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Authors

Christopher Bierth

Gregor N.F. Weiß



Abstract

In this paper, we study the determinants of the systemic importance of banks and insurers during the financial crisis. We investigate the methodology of regulators to identify global systemically important financial institutions and find that firm size is the only significant predictor of the decision of regulators to designate a financial institution as systemically important. Further, using a cross‐sectional quantile regression approach, we find that Marginal Expected Shortfall and Δ CoVaR as two common measures of systemic risk produce inconclusive results concerning the systemic relevance of banks and insurers during the crisis.

Citation

Irresberger, F., Bierth, C., & Weiß, G. N. (2017). Size is everything: Explaining SIFI designations. Review of Financial Economics, 32(1), 7-19. https://doi.org/10.1016/j.rfe.2016.09.003

Journal Article Type Article
Acceptance Date Sep 16, 2016
Online Publication Date Sep 23, 2016
Publication Date 2017-01
Deposit Date Jul 27, 2020
Publicly Available Date Jul 28, 2020
Journal Review of financial economics
Print ISSN 1058-3300
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 32
Issue 1
Pages 7-19
DOI https://doi.org/10.1016/j.rfe.2016.09.003
Public URL https://durham-repository.worktribe.com/output/1265269
Related Public URLs http://eprints.whiterose.ac.uk/120779/

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