Irresberger, Felix and Bierth, Christopher and Weiß, Gregor N.F. (2017) 'Size is everything : explaining SIFI designations.', Review of financial economics ., 32 (1). pp. 7-19.
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.
|Full text:||(AM) Accepted Manuscript|
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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|Publisher Web site:||https://doi.org/10.1016/j.rfe.2016.09.003|
|Publisher statement:||© 2016 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/|
|Date accepted:||16 September 2016|
|Date deposited:||28 July 2020|
|Date of first online publication:||23 September 2016|
|Date first made open access:||28 July 2020|
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