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Durham Research Online
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Size is everything : explaining SIFI designations.

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.

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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Status:Peer-reviewed
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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