Size is everything: Explaining SIFI designations

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

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/